Re: [Quantlib-dev] Multicurve discounting

[Peter C. <pca...@gm...>]

... 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 <rol...@qu...>

> 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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