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#6244
rkapl
Participant

We’ve discussed this now internally, there is actually a lot more to do than just replace the basecurrency in oisCurve = market_->discountCurve(baseCurrency_, configuration_) as the EPE is still in basecurrency.

A transformation of the borrowingCurve and lendingCurve to the basecurrency is needed, so the approach would involve at least the currency basis and other transformations as in https://arxiv.org/pdf/0905.2770.pdf (Two Curves, One Price, M. Bianchetti).

-regards,
Roland