Dominic O'Kane

OK. Given Barone-Adesi has been done you might want to try something else. Would this one be of interest ? https://github.com/domokane/FinancePy/issues/117

Thanks. I will look into this. D From: Jon Freedman Sent: 03 October 2020 20:34 To: domokane/FinancePy Cc: domokane; Author Subject: Re: [domokane/FinancePy] Libor-type curve build from OIS (#22) You...

Jon - I have implemented - calibration to OIS swaps with fixed tenors and also meeting dates - calibration to IBOR tenor swaps using OIS discounting and pricing of IBOR...

Thanks. Those are good data sources that I will bookmark. What I was looking for is a full worked example of building an OIS curve, then a Euribor curve and...

Great!

Sure. Take a look at the code. We can discuss how to do it. If possible, I suggest putting as much of the code logic under models rather than putting...

OK. I already added some but it's fine to add more. Let me know before you begin. Thanks D

Do you have a reference ?

OK. Thanks. I will take a look.

This should be possible and I can look into it. I am very busy now but I am happy for someone to have a go at implementing this.