OIS rate helper with exogenous discount curve

Posted by Roland Lichters-2 on Sep 02, 2012; 11:04am
URL: http://quantlib.414.s1.nabble.com/What-is-the-behavior-of-the-function-qlBondAtmRateFromYieldTermStructure-tp8149p8154.html

Hi Nando, all,

are there any objections to extend the OIS rate helper as attached, i.e. to have an optional exogenous discount curve handle, following the swap rate helper example? We have come across a use case where this would help, i.e. stripping consistent "foreign currency" discount curves when collateral is "domestic" currency.

If there are no objections, the attached could replace the current oisratehalper.*pp without breaking regression.

Kind regards,
Roland  

PS: If there are doubts about the use case I'd be interested to discuss.






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