Re: Multicurve discounting

Posted by Peter Caspers-4 on Sep 06, 2012; 9:22am
URL: http://quantlib.414.s1.nabble.com/Multicurve-discounting-tp9444p9449.html

... yes, except you wouldn't build a forward curve from deposits (which gives rather bumpy forwards in my experience - this being a possible source for serious problems for e.g. FRAs and Caps), would you? There is no useful information in a 1m deposit quote for the estimation of a 3m index.

Peter

2012/9/3 Roland Lichters <[hidden email]>

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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