Re: [Quantlib-dev] Multicurve discounting

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

ED <e06...@gm...> wrote:

>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

I realize the lack of an N-dimensional solver makes things harder.
However, this would probably be feasible with LM, with a modified bootstrapper... is it something someone might have tried?
Any thoughts on the feasibility?

Regards,

Ed