Re: OIS with cross-currency basis curve Discounting

Posted by igitur on Apr 20, 2016; 8:36am
URL: http://quantlib.414.s1.nabble.com/OIS-with-cross-currency-basis-curve-Discounting-tp17414p17416.html

Hi Zabed,

The T_OvernightIndexedSwap test is part of the QLNet project, which is an independent project written in C# and isn't supported in this mailing list. You can find support at https://github.com/amaggiulli/qlnet

However, that part of the QLNet test suite seems to be a port of the overnightindexedswap.cpp tests in QuantLib, so somebody here might be able to help you.

On 19 April 2016 at 11:16, Zabed <[hidden email]> wrote:

Hello Team Dev,

We are using the C# version of QuantLib and found a test called
T_OvernightIndexedSwap which uses OvernightIndexedSwap and MakeOIS classes
for discounting use.
But in the case of a CSA Agreement and collateral exchanged between
counterparties in a different currency to the OIS curve, can you please
advise which class and how do we use to account for the Basis Curve and
derive the discount factors needed?
Example:
I am using EUR OIS: EONIA curve together with the EUR/USD cross currency
basis curve.

Can you please advise.

Kindest Regards
Zahar




--
View this message in context: http://quantlib.10058.n7.nabble.com/OIS-with-cross-currency-basis-curve-Discounting-tp17414.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

------------------------------------------------------------------------------
Find and fix application performance issues faster with Applications Manager
Applications Manager provides deep performance insights into multiple tiers of
your business applications. It resolves application problems quickly and
reduces your MTTR. Get your free trial!
https://ad.doubleclick.net/ddm/clk/302982198;130105516;z
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev

------------------------------------------------------------------------------
Find and fix application performance issues faster with Applications Manager
Applications Manager provides deep performance insights into multiple tiers of
your business applications. It resolves application problems quickly and
reduces your MTTR. Get your free trial!
https://ad.doubleclick.net/ddm/clk/302982198;130105516;z
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev