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#6736
Anonymous
Inactive

Hi Roland,

Yes, that is possible. If you have EUR-IN-USD built (using EURUSD XCCY) and CAD-IN-USD (using USDCAD XCCY) then you can build a CAD-IN-EUR curve with the configuration


    <YieldCurve>
      <CurveId>CAD-IN-EUR</CurveId>
      <CurveDescription>CAD collateralised in EUR discount curve</CurveDescription>
      <Currency>CAD</Currency>
      <DiscountCurve/>
      <Segments>
        <DiscountRatio>
          <Type>Discount Ratio</Type>
          <BaseCurve currency="EUR">EUR-EONIA</BaseCurve>
          <NumeratorCurve currency="CAD">CAD-IN-USD</NumeratorCurve>
          <DenominatorCurve currency="EUR">EUR-IN-USD</DenominatorCurve>
        </DiscountRatio>
      </Segments>
    </YieldCurve>

This builds a Discount Factor curve using the ratio of the two. This way you can build up a full set of “XYZ in EUR” curves using the most liquid quotes for each pair (USDCAD, USDMXN, etc)

Regards,
Niall.