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Re: TreeLattice with different discounting and forwarding curves

Posted by Luigi Ballabio on Oct 04, 2011; 10:26am
URL: http://quantlib.414.s1.nabble.com/TreeLattice-with-different-discounting-and-forwarding-curves-tp9139p9142.html

On Tue, 2011-09-20 at 10:54 +0200, SK A wrote:
> By following your suggestion, we can not take into account the
> correlation between two curves, right? This is exactly what I want to
> have. That's why I constructed two trinomial trees and combined them
> as in G2++ tree  implementation. On this grid I want to have the
> freedom to forward and discount with different curves. Does it make
> sense?

Yes, it does.  My mistake: I didn't get that you wanted to combine the
two trees, not keep them separate.

Luigi


--

When all else fails, pour a pint of Guinness in the gas tank,
advance the spark 20 degrees, cry "God Save the Queen!", and pull
the starter knob.
-- MG "Series MGA" Workshop Manual



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