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Commercial papers
This is probably too elementary for you guys - how would you price a commerical paper? By discounting it I guess, but which curve would you use?
Commercial papers
I would price it based on the credit quality of the issuer, of course. Starting with the credit rating issued by credit rating agencies, but doing your own homework since the last few years we found out that Moody's and S&P are not always right... I would get an average commercial paper i.r. curve for issuers with similar credit quality and use that. For example for the best rated U.S. companies (A1+) right now it is:1 day 0.18%15 days 0.20%60 days 0.24%4 mon 0.30%6 mon 0.34%(Source: Bloomberg)
Last edited by acastaldo on December 6th, 2010, 11:00 pm, edited 1 time in total.