If you have a basis swap, ie 1m libor floating rate, or 1m cap/floor trade, and assuming non colleteraized, so we must use libor discounting, would you use 3m libor curve or basis(1m libor basis) as the discount curve to get present value of cash flows? Any available articles on web? thanks!
Last edited by Leo77
on April 20th, 2014, 10:00 pm, edited 1 time in total.