It depends what you're doing. If you are doing a large swap portfolio unwind, involving lots of seasoned deals, in the context of some kind of multilateral program (Trioptima etc) then you need to spline to get a sensible level of projected forwards. If you don't do this, then imperfections in your ...

I would expect that you'd have to do a global solve across everything: if you change a spline level at time T+X, it will affect levels at times earlier than T, and I can't see how else you would cater for this.

<t>People fully project both accrual and projection end dates (so the two may differ for particular swap resets) but they will reprice without reference to convexity adjustments.Yes, the OP is quite correct that you end up with particular resets not being paid on the "natural date" for the underlyin...

<t>As Martinghoul says you've got the main thrust right, but there are a couple of things to add:1) Quite a few people were monitoring tenor basis risks before the blowout. But there were very many who weren't... in the less sophisticated places, the temptation was for a trader to put on something a...

You don't say what your base interpolation dates are? You should interpolate the short end loglinear on the dates that ECB meeting decisions take effect. This should allow you enough degrees of freedom to reprice. You will need to add a smoothness constraint.

<t>Quoteare you saying that regulation requires Libor discounting for these and forbid OIS ?I do agree it sounds odd, but that's my understanding from a couple of brief conversations with those working there.You'd have to ask someone working in that field for the details.There are all kinds of weird...

<t>If you are talking about a large place, major currencies, IRD, then (almost) everyone is getting basic CSA-driven discounting right for pricing, and many people are routinely managing to price in collateral choice value and carry everything through in their decomposition to driving risk in their ...

Since a box is just a zero coupon bond you need to be certain you are using the correct discounting level.Equity desks are not always great on (collateral driven) discounting.If someone sophisticated in discounting offers you a box trade in size then be very sure you know what you are doing.

<t>A few jobs ago I was building teams, and did a lot of recruitment. You look for ways to screen out no-hopers. I had a whole points scoring system set up for various CV infractions. The idea being that if you can't even get your CV proof-read to a sensible standard, what's the point in letting you...

<t>As one who has done and organised a lot of interviewing: either they were so uncoordinated that they hadn't processed the 1st interview being a fail in time to stop the 2nd interview, or they weren't 100% sure after the 1st you weren't a candidate. *Very* unlikely they would waste time on you if ...

<r>1Q: As Mghoul says, you should use the interest rate from the CSA (EUR OIS) in this instance, cross-currency-adjusted to the currency of your cashflow. 2Q: You are correct that you should be using a consistent discounting level, but you need to be applying a cross-currency adjustment as well on t...

<t>In general yes FX fwd trades do come under CSA agreements.The question is whether changing the CSA changes the breakeven level for the FX fwd.This will happen if changes in FX levels are correlated with changes in the spreads between the discounting levels concerned.Right now there is no such cor...

The man is something of a hero to me. Not that he's much of a role model.

QuoteOriginally posted by: DavidJNlequocle, Both bearish and mtsm have provided clear descriptions of the two effects that I wrote about in the 1997 paper that you ungenerously ascribed to only my co-author. Your lack of due consideration aside...Possibly Relevant

<t>Don't get hung up on bond pricesRelevant rate for bonds from a funding standpoint is the repo rateEg if you are posted bonds you can use them to raise funding at the repo rate for the bonds. That's the rate that gets applied for discounting.Not all corp bonds are alike by the way. Eg if your CSA ...