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NightCoder
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Posts: 11
Joined: June 4th, 2021, 7:08 am

Issuer Curve Calibration

October 26th, 2022, 10:06 pm

Hi all,

How would you calibrate the curve of a specific issuer?

1) Would you include all (plain-vanilla) bonds of the issuer, i.e. using fixed, floating and zero bonds together?

2) Would you confine yourself to just one interest rate type?

3) Would you calibrate interest rate type specific issuer curves, i.e. one curve for each interest rate type of the issuer?