Re: Multicurve discounting

Posted by Roland Lichters-3 on Sep 03, 2012; 3:26pm
URL: http://quantlib.414.s1.nabble.com/Multicurve-discounting-tp9444p9448.html

Hi Grzegorz,

yes, it does. Have a look at the SwapRateHelper class that allows specifying an exogenous discounting curve. This is the essential thing you need (in the single currency world). So you build the discounting curve first (e.g. bootstrapping from ON, TN and OIS quotes). In a second step you build e.g. a 3M tenor Swap curve from Deposits, FRAs and 3M tenor Swaps, where you use the former curve as exogenous discounting curve with your SwapRateHelpers.

Kind regards,
Roland

On 3 Sep 2012, at 17:11, Grześ Andruszkiewicz wrote:

> Hi,
>
> 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?
>
> See e.g. http://blog.numerix.com/public/2011/02/otc-derivatives-valuation-adoption-of-multiple-pricing-curves.html
> for more information.
>
> Kind regards,
> Grzegorz
>
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