Re: [Quantlib-dev] Multicurve discounting

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

The 1m-4m EUR FRA mid is around 0.2460. When you estimate that rate from 1m
and 4m depos, you get 0.3783. The 3m-6m FRA is at 0.2180. Estimation on 3m
depo and 6m depo gives 0.7186. If you use 3m depo and 0x6 FRA you
get 0.8215. If I tweaked my system correcty ... ;-)  - obviously you can
mess things up very easily in the new world...

You have to ensure to use solely instruments linked to the 3m index e.g.
0d, 1d x 3, 1x4, 2x5 ... FRAs, Swaps vs. 3m, which already gives a good
forward curve in my opinion. The modeling of the very short end is not easy
I believe. Also cash quotes even with the 'right' maturity have to be
handled with care. Concerning interpolation a new promising direction seems
to be the direct interpolation of the (discrete) forwards.

Peter
2012/9/6 Simon Ibbotson <Sim...@fs...>

>  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:pca...@gm...]
> *Sent:* 06 September 2012 10:22
> *To:* Roland Lichters
> *Cc:* qua...@li...
> *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 <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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