<t>this topic has been talked about a lot, in the forums..basically, there's a good article to get you started, from the bank of canada.. showing the overall make-up of the curvei can't seem to upload the pdf, here.. go to google and search for 'practical guide to swap curve construction'this shows ...

I'm wondering if anybody's had any experience, with any current pricing model, here..Chris

I'm wondering if anybody has done any work, here..Using the SABR vol output and calibrating a model (LMM.. BDT.. HW..) for mtm/risk..

can somebody send me the spreadsheet, too?whomever might have it..cvilsack@gmail.com

<t>I'm wondering if anybody has experience in pricing short-term(under 1 yr, usually 3~6months..) maturity single-name CD deals..I have a very stable model, pricing close to bloomberg, using both the jp morgan pricer, as well as the bloomberg version..But find deviations in the under one year tenor ...

<t>I would imagine that by "transfer the spread curve to default probability", you mean that you are looking to compute the survival probability numbers given the spread values. The latest round of Bloomberg pricing logic uses an equilibrium-based pull used in setting the equations, that compute the...

<t>I'm not sure that you'd want to model the spread from zero, linearly or however, to your 6 month point.. In NYC, Markit Partners publishes from 1y.. Some people take on the convention of copying the 1y to 6m, and further the 6m to the 3m point.. This way, your view is steady throughout the model....