Posted by
sarpkacar on
URL: http://quantlib.414.s1.nabble.com/Curves-over-Eonia-tp221p228.html
I am also not aware of such a model. But anyway as you pointed calibration is a problem. But does it mean that in practice the two curve fact is not used to price interest rate exotics? For underlyings it makes a difference but may be for derivatives it does not play such a big role, as the price mainly influenced by the volatility, rather than with what we discount.
Does some has any experience on the subject?
Regards,
Sarp Kaya
On 22.08.2011, at 15:59, Ferdinando Ametrano <
[hidden email]> wrote:
> On Tue, Aug 16, 2011 at 11:23 AM, SK A <
[hidden email]> wrote:
>> What about the stochastic modelling of basis spread, is there already an
>> implementation or ongoing work or any plan to incorporate it?
>
> none I know of, and without basis swap vol quotes it would be quite
> hard to really use a similar model.
> Besides I am not following literature on the subject, but I would be
> highly skeptical of any model not preserving time homogeneity. If
> there is a time homogeneous model for the basis term structure please
> point me at it
>
> ciao -- Nando
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