Re: [Quantlib-users] Curves over Eonia

Posted by Ferdinando M. Ametrano-3 on Aug 22, 2011; 1:59pm
URL: http://quantlib.414.s1.nabble.com/Re-Quantlib-users-Curves-over-Eonia-tp9403p9404.html

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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