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Re: Curves over Eonia

Posted by Ferdinando M. Ametrano-3 on Aug 29, 2011; 1:37pm
URL: http://quantlib.414.s1.nabble.com/Curves-over-Eonia-tp221p229.html

> But does it mean that in practice the two curve fact is not used to price interest rate exotics?
No, two curves are used

anyway since rate models with stoch basis cannot be calibrated the
most common assumption is for deterministic basis, even if nobody is
proud of such a choice...

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