Re: [Quantlib-dev] Calcualting Bond Price from The ASW (asset swap) spread

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

Hello Paul,

Many thanks for your advise and guidance. It works perfectly.
However I wanted also to ask you about dual currency (OIS) discounting (CSA
agreement) with USD collateral. i.e. using EONIA (EUR) for the discounting
and the EUR/USD Currency basis curve?

Can you please advise which Qunatli function supports the dual currency
discounting when using EUR OIS and USD collateral (with the EUR/USD basis
curve)

Kindest Regards
Zahar


 



--
View this message in context: http://quantlib.10058.n7.nabble.com/Calcualting-Bond-Price-from-The-ASW-asset-swap-spread-tp17428p17452.html
Sent from the quantlib-dev mailing list archive at Nabble.com.