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I am looking for a builder of Yield curves by tenors (O/N, 1M, 3M, 6M, 12M) respect to a given discount curve based on multi-curve framework as described below :

Interest-rate Modelling with Multiple Yield CurvesA Pallavicini, M Tarenghi – [2010]

Do you know any pricing libraries that can meet my requirements and then proposes consistent pricing framework for IRS, FRA, IR options, etc ?

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2 Answers 2

up vote 5 down vote accepted

Quantlib supports multi-curve framework (to the best of my knowledge). By the way, there's a "newer" version of that paper (authored by Pallavicini & Brigo). http://arxiv.org/abs/1304.1397

This paper might also be useful for you, very practical and basically answers any question you could have.

Also see this discussion about multi-curve discounting within quantlib.

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There is a new book about this new topic:

http://www.amazon.com/Interest-Rate-Modelling-Multi-Curve-Framework/dp/1137374659

The author is a leading developer in Opengamma. Opengamma does have support for multi-curve building.

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