Re: [Quantlib-dev] [Quantlib-users] Curves over Eonia

[Ferdinando A. <na...@am...>]

On Tue, Aug 16, 2011 at 11:23 AM, SK A <ska...@go...> wrote:
> What about the stochastic modelling of basis spread, is there already an
> implementation or ongoing work or any plan to incorporate it?

none I know of, and without basis swap vol quotes  it would be quite
hard to really use a similar model.
Besides I am not following literature on the subject, but I would be
highly skeptical of any model not preserving time homogeneity. If
there is a time homogeneous model for the basis term structure please
point me at it

ciao -- Nando