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.