http://quantlib.414.s1.nabble.com/OIS-dual-curve-discounting-tp15040p16508.html
> On Apr 20, 2015, at 9:56 PM, Cheng Li <
[hidden email]> wrote:
>
> Hi George,
>
> Please the attachment for an example of how to use quantlib to do dual curve
> calibration.
>
> The basic procedure of dual curve calibration in quantlib is to do that one
> by one (not simultaneously).
>
> 1. fit the discounting curve
> Here is the ``yts_ois_benchmark`` in the example.
>
> 2. fit the forwarding curve
> The rate helpers for some instruments can take into one external discounting
> curve ( in our case, the swap rate helper). In such setting, user can make
> the discounting curve frozen as he wish and only calibrate the forwarding
> curve. So we get the forwarding curve ``yts_swap_benchmark``
>
> If you want some stuff on simultaneous curve bootstrap, Kosynski making some
> effort in this direction, please see the following link:
>
>
https://github.com/lballabio/quantlib/pull/162>
> Actually my codes sample is taken from his codes stuff.
>
> Regards,
> Cheng
>
> -----邮件原件-----
> 发件人: George Wang [mailto:
[hidden email]]
> 发送时间: 2015年4月21日 7:58
> 收件人: Luigi Ballabio
> 抄送:
[hidden email]
> 主题: Re: [Quantlib-users] OIS dual curve discounting
>
> Hi Luigi,
>
> Hope you have time to work on this example soon. I am very interested in
> this as well. I just bought the "Implementing Quantlib" ebook hoping to find
> something related to dual curve, but it seems not there based on my quick
> browse.
>
> Thanks,
> George
>
> Sent from my iPhone
>
>>> On Mar 28, 2014, at 12:11 PM, Luigi Ballabio <
[hidden email]>
>> wrote:
>>
>> Hello,
>> apologies for the delay: I had a busy month both at work and at
>> home and I had to drop the ball on the mailing list.
>> I'll try and make such an example in the coming month.
>>
>> Luigi
>>
>>> On Thu, Feb 27, 2014 at 3:12 PM, Mahendra Singh <
[hidden email]>
> wrote:
>>> Hi, is there an example of using quantlib to build a curve using ois
>>> dual curve discounting?
>>> Currently using fincad to do this but would like to compare with
> quantlib.
>>>
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>>
>> --
>> <
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>> <
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