expiry dates of the calibrating instruments

<t>QuoteOriginally posted by: MartinghoulWell, ain't that sumthin'... You live, you learn and you, sir, are correct.The convention is USD LIBOR flat vs local ccy+ for all ccys, with TWO exceptions: Mexico and Chile, which are local flat vs USD LIBOR +. Apparently, this was adopted as the convention ...

From past experience, you set beta at a fixed number and tweak from there..however ....

Has anyone experience of a model that deconstructs currency basis swap levels into liquidity, credit risk, etc....or any useful material discussing this. Thanks in advance.

Anyone got any more recent experiences of QuIC?

This is probably more an accounting question, but thought someone here might know. Do institutions calculate the fair value of bank deposits or retail CD's for financial reporting? If so, how do they estimate any credit adjustment? Thanks is advance

EUR IRS quotes directly against 1m, 3m, 6m - 3m, 6m Eonia basis versus 3m Euribor is liquid...not sure of the rest...

FWCV<GO> on BBG

Look at Fujji, Shimada et al.. (2010)...

short answer...no

You would need to model the credit and multiple risk factors that affect the value....a large data set!!Sokol(2010) talks about looking at the correlation between credit risk and exposure for a counterparty which is less daunting.

30/360 SA fixed a/360 qtry 3m L....

Hi - anyone got any material/advice on how to value an average rate forward - thanks in advance

It is possible to get a discount factor greater than one...JPY cross currency basis adjusted curve as one example given the current basis levels

CRM...can you tell us what currencies you are building the curves for?