My first post on the forum, looking at calibration of multiple basis curves aimed at understanding curve capabilities in Strata.
Imagine a very simple Dollar ‘curve cluster’ comprising:
⦁ a strip of delta drivers (say, USD Fixing, ED Strip and AM3 straight IRS 3y-20y)
⦁ LIBOR/FF basis swaps wavg on ois leg (say only 5 … 3m, 6m, 1y, 5y and 10y)
(For now, one delta and one basis - a 3m/ois basis - in our dollar curve cluster. Will add further complexity as we build on this thread).
- What is the calibration outcome internally? Am I right to assume it is
⦁ A term structure (strip of fwd rates) for the 3M Libor rates
⦁ A term structure for the 3M-OIS basis - a “basis curve” with daily spread rates
- Do you allow for supplying a interp/exterp spec for the outright and spread term structures separately?
- Would the solver be able to resolve separate delta drivers for separate segments of the curve? (say I want to use OIS swaps for first 6 months in some combination and want the 3m/OIS spread supplied in spread table to represent a “spread to the underlying OIS” … and beyond 6 months supply EDs and IRS and the 3m/OIS spread represents “a spread under the 3M”)