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

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

On Tue, 2011-09-20 at 10:54 +0200, SK A wrote:
> By following your suggestion, we can not take into account the
> correlation between two curves, right? This is exactly what I want to
> have. That's why I constructed two trinomial trees and combined them
> as in G2++ tree  implementation. On this grid I want to have the
> freedom to forward and discount with different curves. Does it make
> sense? 

Yes, it does.  My mistake: I didn't get that you wanted to combine the
two trees, not keep them separate.

Luigi


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