Re: Fundamental pricing question regarding Numeraires

Posted by Peter Caspers-4 on
URL: http://quantlib.414.s1.nabble.com/Fundamental-pricing-question-regarding-Numeraires-tp16607p16612.html

Hello,

you are mixing things up a bit here. One thing is which numeraire /
measure you use for pricing => this is always the zero bond P(t,T) /
T-forward measure in the Gsr implementation that Matthias uses in his
Python code. Another thing is whether you want to use a multicurve
setup or not. You can do that (using static adjustments for basis
spreads) in the Gsr model, if you want, e.g. use an OIS curve for
discounting and tenor forward curves, but the measure is still
T-forward, yet with a zero bond reflecting OIS rates.

The same would hold in an implementation under the risk neutral
measure, which can be done single- or multi-curved.

best regards
Peter




On 31 May 2015 at 19:06, vgdev <[hidden email]> wrote:

> Thank you Matthias!
>
> Okey, I believe I understand it. But what if I wanted to do the same pricing
> under the risk neutral measure Q, would that work? Or would I have to use a
> two curve setup with a OIS curve for risk neutral discounting?
>
>
>
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