Re: Calcualting Bond Price from The ASW (asset swap) spread

Posted by Zabed on May 13, 2016; 12:58pm
URL: http://quantlib.414.s1.nabble.com/Calcualting-Bond-Price-from-The-ASW-asset-swap-spread-tp17428p17452.html

Hello Paul,

Many thanks for your advise and guidance. It works perfectly.
However I wanted also to ask you about dual currency (OIS) discounting (CSA agreement) with USD collateral. i.e. using EONIA (EUR) for the discounting and the EUR/USD Currency basis curve?

Can you please advise which Qunatli function supports the dual currency discounting when using EUR OIS and USD collateral (with the EUR/USD basis curve)

Kindest Regards
Zahar