3 ms·
No it does not, but I think it could be done with Quantlib. At least that's what I see in this paper: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=22195
by melenaboija 9y ago
No it does not, but I think it could be done with Quantlib. At least that's what I see in this paper:
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2219548 https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2219548
And I think QuantlibXL has the multiple curve bootstrapping implemented.