[Quantlib-dev] OIS with cross-currency basis curve Discounting

[Zabed <zah...@ho...>]

Hello Team Dev,

We are using the C# version of QuantLib and found a test called
T_OvernightIndexedSwap which uses OvernightIndexedSwap and MakeOIS classes
for discounting use.
But in the case of a CSA Agreement and collateral exchanged between
counterparties in a different currency to the OIS curve, can you please
advise which class and how do we use to account for the Basis Curve and
derive the discount factors needed?
Example:
I am using EUR OIS: EONIA curve together with the EUR/USD cross currency
basis curve.

Can you please advise.

Kindest Regards
Zahar




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