<t>Hi,I am a bit lost how to calculate a FVA for a portfolio. My EPE (Expected Positive Exposure) curve is showing that my swap portfolio with a counterparty would on my favour EUR20m? in year 2023. So, if my funding spread in 10 year maturity is 100bps should I use that for FVA? Couldn't I just arg...

<t>Hi,I am having hard time creating a BRL yield curve to price a EUR/BRL cross currency swap. If I am using 3m curve for the EUR leg, which instruments should I use to build the BRL curve? And are there quotes for EUR/BRL basis curve? At least I cannot find any quotes from Bloomberg.Any help apprec...

<t>Hi,I am looking at YAS function in Bloomberg for a fixed rate bond. In YAS there are multiple yield/spread calculation for a fixed bond: yield, g-spread, i-spread, z-spread, asset swap spread and OAS spread. Now I would like to price FRN with same maturity date and assuming that the credit qualit...

yep, I think I'll try that. However, I don't know how happy they are to share their curves. Thanks for help!

<t>The value date for the swap is 24.1.2011. The problem is that we have quite a lot of these deals and in total the valuation differences is too high. It is a bit strange that the valuation difference is 0,5m? because in order to increase the MtM with 0,5m? I'd have to decrease the 12m fwd curve by...

<t>Thanks for your answers. The percentage difference is quite big. Maturity date is 24.1.2013, paying Euribor12 - 24,5bp, receiving Euribor3 flat, Nominal = 170mEUR. SWPM gives a PV of -2,2m? and my counterparty is saying -1,7m?... The effect of changing to OIS discounting is quite minimal (about 3...

<t>Hi,I am having some difficulties when pricing 3vs12 EUR basis swaps (paying EURIB12/receivingEURIB3). The problem is that I am constantly getting lower PVs than my counterparties. I have priced these deals with SWPM in Bloomberg and these valuations are matching my valuations almost perfectly. So...

<t>Hi,I tried to go through old discussions but wasn't able to find a satisfactory answer. I assume my question should be an easy one: how to price a fixed-to-floating cross currency swap. I am receiving fixed coupon in CHF and paying Euribor 3m + xIt seems that there are 2 alternatives:1. EUR-leg: ...

<t>DavidJN,That's the problem because i don't see how could I change the discount curve. Why would the discount curve be dependent on the reference rate? If I have a 5 year FRN paying 12m euribor i could do a basis swap to change the cashflow to Euribor 3m + 23bp (current 3 vs 12 spread for 5 years)...

<t>Hi All,Valuating a risk-free FRN portfolio should be an easy task. However I am struggling a bit. At coupon payment date the PV of a FRN should equal its nominal value. But I am wondering that shouldn't the value be affected by the reference rate..? I mean that a loan paying 12 month Euribor + 0 ...