Thanks mate, appreciate your help

<t>To add context OPs question mentioned that fixed vs 3M libor flat were pricing back to par on BBG. Under Libor discounting, the Libor curve built will still have quotes for Swaps which are collateralized in USD (due to no contributing data for uncollateralized swaps), however under this bootstrap...

The key thing to remember is CCS are collateralized as well, generally EUR v USD is collateralized in USD, so when discounting your EUR flows you need to build a curve that considers USD collateral.This is described in Fuji-Takahashi's works.

<t>erm, I thought all he mentioned was that flat libor leg was pricing to par, this will be true under OIS discounting and also for xCCy swaps as xCCy swaps are dollar collateralized as well.Feel free to correct me if this isnt correct. I thought we dont get an uncollateralized rate any more, so any...

Wouldnt par swap price back to par in OIS discounting as well? If your USD curve is built with par swaps even under multi curve generation with FedFunds your par swaps would still price back to par.

Building EUR Interest Rate Curve and noticed I am getting Eonia-Euribor basis swap quotes as well. Are these following the Euribor 3v6 convention of difference in two swap rates or are these more similar to Libor-FedFund basis swaps?

<t>Bump and reval will work wrt underlyings however it will be slow, go with the Algorithmic differentiation approach it is faster for bigger portfoliosIn addition dont worry about bumping zero rates, you should only look at bumping market quotes or forward ratesAnalytic approximation may work, you ...

<t>QuoteOriginally posted by: katastrofa@calDexterYou're confusing quote conversion with actual pricing. ISDA CDS model is used for quote conversion only: from "quoted spread" to upfront price or vice versa. To price a collateralised position, of course you need an OIS curve.I don't understand what ...

interested in your paper, would be great if you could email it to me as well. I can help you in expanding it further for Credit Risk.

<t>OIS discounting isnt being use actively at the moment, the main reason being that ISDA model has a more classical IR curve approach.From pricing perspective CDS ISDA model is gaining preference as opposed to the older term structure models due to the liquidation preference.There is some interest ...

on IMM eg (6/20) your CDS would go to (6/20) maturity, from 6/21 onwards the next IMM rolling would start.CDS these days trade on full coupon so the the upfront fee is used to compensate for extra accrual that buyer of protection would have to pay to protection seller on the first coupon date.