Posted by
ED-661 on
Nov 19, 2012; 4:14pm
URL: http://quantlib.414.s1.nabble.com/Multicurve-discounting-tp9444p9447.html
ED <
[hidden email]> wrote:
>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
I realize the lack of an N-dimensional solver makes things harder.
However, this would probably be feasible with LM, with a modified bootstrapper... is it something someone might have tried?
Any thoughts on the feasibility?
Regards,
Ed
------------------------------------------------------------------------------
Monitor your physical, virtual and cloud infrastructure from a single
web console. Get in-depth insight into apps, servers, databases, vmware,
SAP, cloud infrastructure, etc. Download 30-day Free Trial.
Pricing starts from $795 for 25 servers or applications!
http://p.sf.net/sfu/zoho_dev2dev_nov_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev