Say for instance I have created a single market data with curves in two currencies (USD and EUR curves).
- USD-Disc / USD-3M / EUR-Disc / EUR-3M
Where the “Disc” curves have been defined as discount and forward curves and the 3M curves as forward curves.
The obective is to create a new market data adding a FX curve to the previous curve group holding the calibrated values obtained as described above and assign that to a new curve group.
I have tried by simply adding the FX curve linked to EURUSD
- USD-Disc / USD-3M / EUR-Disc / EUR-3M / EURUSD
Where the “Disc” curves have been defined as discount and forward curves, the 3M curves as forward curves and the FX as discount on EUR.
The problem is that the ZC for EUR forward and discount curves have changed since the new assigned EUR discount curve for the calibration process is the EURUSD (and the EUR-Disc is no longer used during the calibration process).
Any tip to manage this? Which is the best way to manage this?
Shall I try it through combination of markets? I mean, calibrate one market data with the curves in step 1 and then combine this built market data with another market data that only contains the EURUSD curve. Does it work? Is it the best way to do it?
Thank you very much.
Best regards Abe