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

[Francois B. <ig...@gm...>]

Hi Zabed,

The T_OvernightIndexedSwap test is part of the QLNet project, which is an
independent project written in C# and isn't supported in this mailing list.
You can find support at https://github.com/amaggiulli/qlnet

However, that part of the QLNet test suite seems to be a port of
the overnightindexedswap.cpp tests in QuantLib, so somebody here might be
able to help you.

Francois Botha

On 19 April 2016 at 11:16, Zabed <zah...@ho...> wrote:

> 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
>
>
>
>
> --
> View this message in context:
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> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
>
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