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by Hymn
January 21st, 2021, 3:02 pm
Forum: General Forum
Topic: How to compute a zero spread for unexpected loss
Replies: 0
Views: 62

How to compute a zero spread for unexpected loss

Hi,

I have to discount a cash flows of mezzanine and junior note of NPL's securization, so the discount curve have to include a zero spread for unexpected loss, could you suggest me a proxy to estimate quickly this spread?

Thanks
by Hymn
May 4th, 2020, 6:05 am
Forum: General Forum
Topic: How to select the IR curve to discount cash flows?
Replies: 5
Views: 3216

Re: How to select the IR curve to discount cash flows?

Thanks.
I think that for me is more convenient the option 2b, I can try to use the funding curve used by treasury function. Anyway, I will add a spread over the curve to capture the market/credit risk.
by Hymn
April 21st, 2020, 9:31 am
Forum: General Forum
Topic: How to select the IR curve to discount cash flows?
Replies: 5
Views: 3216

Re: How to select the IR curve to discount cash flows?

Yes, I need to discount cash flows from a financial instruments not collateralized.
by Hymn
April 15th, 2020, 2:34 pm
Forum: General Forum
Topic: How to select the IR curve to discount cash flows?
Replies: 5
Views: 3216

How to select the IR curve to discount cash flows?

Hi, I want to define a fixed rule to select a correct IR curve (ex from Bloomberg) to discount cash flows. I am interesting only in the interest rate curve and not also in market spread. For example, in your experience, if you have to discounts a quarterly cash flows what kind of IR curve do you us...
by Hymn
February 28th, 2020, 4:18 pm
Forum: General Forum
Topic: Discount curve + spread
Replies: 2
Views: 4146

Discount curve + spread

Hi all, I need to discount some cash flows by using the Bloomberg YCSW0201 (EUR vs. 3M Euribor) + constant spread. I have a doubt, to obtain the discount factors, what are the correct steps? Hp1: download the par curve (YCSW0201); spread the par curve (point 1) by adding the constant spread to each ...
by Hymn
April 4th, 2016, 12:30 pm
Forum: Technical Forum
Topic: Cap&Floor: benchmark pricing model
Replies: 1
Views: 1417

Cap&Floor: benchmark pricing model

Hi,in a context of negative interests what kind of pricing model are you using to price the cap&floor instruments? And about the market data, especially the volatitlity?Today, more instruments have embedded a floor instrument with strike 0, how to price the embedded derivative?Thanks
by Hymn
November 6th, 2015, 1:34 pm
Forum: Technical Forum
Topic: Basis Swap and discounting curve (XCCY)
Replies: 1
Views: 2604

Basis Swap and discounting curve (XCCY)

<t>Hi all,I have two questions about the discounting curve (XCCY) to use for a Cross Currency Swap (CCS):First question:I have to price a CCS EUR vs USD and I need to build the discounting curve with the basis swap, as market conventions the basis swap EUR vs USD are quoted in EUR so I should discou...
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