Really? So a 3M tenor swap fixing in 1M has no dependency on 1M depos (and a 4M point obviously)? Things have obviously changed since I did this type of stuff… do people now interpolate the 3M depo with the next Future (convexity adjusted) and a 3x6 rate derived from a 6M swap (if available)?
Very interested.
Simon
From: Peter Caspers [mailto:[hidden email]]
Sent: 06 September 2012 10:22
To: Roland Lichters
Cc: [hidden email]
Subject: Re: [Quantlib-dev] Multicurve discounting
... 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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