Serving the Quantitative Finance Community
pricing bullet agency bond
I price bullet agency bond in the following way:1) build live swap curve using fixing, ED, SWAP rate2) build close swap curve using close fixing, ED, swap rate3) use agency close fwd open and fwd closing swap curve to know the agency spread4) assume the spread is stable and use live swap curve to price agencyI wonder how other people does it. Any comments?Jun