Re: [Quantlib-dev] TreeLattice with different discounting and forwarding curves

[Luigi B. <lui...@gm...>]

On Sun, 2011-08-21 at 21:17 +0200, SK A wrote:
> I am planning to implement a lattice in QuantLib that can cope with
> different discounting and forwarding curves. [...] I think that the
> curicial point is to separate the rollback method on the payoffs (i.e.
> DiscretizedSwap and DiscretizedSwaption objects)   and on the
> DiscretizedBond object. In the first one  discounting will be done
> with Eonia and in the second one with Euribor (in order to calculate
> the Euribor forwards).
>  
> My plan is to implement a new class in numericalmethod.hpp, called
> TwoCurveTreeLattice that has two rollback and respectivley two
> partialRollback methods, calling two different stepback methods with
> corresponding discountings

It could become a mess very quickly.  How about passing two lattices to
the DiscretizedSwaption instead?  The swaption would roll itself and the
DiscretizedSwap on the Eonia lattice, and the DiscretizedBond on the
Euribor lattice.  You'll have to take care that the two lattices have
the same nodes, of course, so you'll have to use a model where they
don't depend on the underlying curve; but that's a problem you'd have
with the two-curve lattice too.  This way, you wouldn't have to modify
the Lattice class.

Luigi


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