Posted by
ED-661 on
Nov 14, 2012; 1:33am
URL: http://quantlib.414.s1.nabble.com/Multicurve-discounting-tp9444p9446.html
On Mon, Sep 3, 2012 at 12:19 PM, Ferdinando Ametrano<
[hidden email]>
wrote:
> On Mon, Sep 3, 2012 at 5:11 PM, Grześ Andruszkiewicz
> <
[hidden email]> wrote:
>> Does QuantLib support multicurve discounting, i.e. when you discount
>> using one curve (OIS), but use another curve (i.e. 3M LIBOR) for
>> determining of the cash flows?
> yes it does
Hi Nando,
What if all you have to build your OIS curve is FFvs3M basis swaps?
In that case you need to jointly calibrate your 3M and OIS curves, as
they are interdependent.
Would you have some pointers on how to do that within Quantlib?
Best Regards,
Ed
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