Re: [Quantlib-dev] Multicurve discounting

[ED <e06...@gm...>]

On Mon, Sep 3, 2012 at 12:19 PM, Ferdinando Ametrano<na...@am...>
wrote:
> On Mon, Sep 3, 2012 at 5:11 PM, Grześ Andruszkiewicz
> <gan...@gm...> wrote:
>> 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? 
> yes it does 

Hi Nando,

What if all you have to build your OIS curve is FFvs3M basis swaps?
In that case you need to jointly calibrate your 3M and OIS curves, as
they are interdependent.
Would you have some pointers on how to do that within Quantlib?

Best Regards,
Ed