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 ?


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.


There is a new book about this new topic:


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


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.