Hi, the Government curve could be use as base curve, then you have to add a credit spread that capture the issuer riskeness over the Government, for that you can use the Z-spread  over the government bond of a listed bond with the same issuer and characteristics of the  bond that you are valuing. Th...

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

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.

Yes, I need to discount cash flows from a financial instruments not collateralized.

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...

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 ...

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

<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...