Pricing curve for corporate bonds from EU, US, and GB?
Pricing curve for corporate bonds from EU, US, and GB?
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CarefulBro45 · External communityPost link
External question — Quantitative Finance Stack Exchange
Author: CarefulBro45
Original post: https://quant.stackexchange.com/questions/85834
License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/
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What is the appropriate pricing curve to use for fixed-coupon corporate bonds issued in EUR, USD, or GBP?
It used to simply be the LIBOR curve -- however with the transition to RFR being in different stages for all these markets, I am now a bit confused as to what the appropriate curve is to use for these 3 regions.
Do we use RFR curves (ESTR, SOFR, SONIA) for all three markets to discount fixed-coupon bond cashflows?
Do we still use LIBOR for some?
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Quoted from Forex.com.bd-Editorial External question — Quantitative Finance Stack Exchange Author: CarefulBro45 Source score (net votes, not local likes): 0 Original post: https://quant.stackexchange.com/questions/85834 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. What is the appropriate pricing curve to use for fixed-coupon corporate bonds issued in EUR, USD, or GBP? It used to simply be the LIBOR curve -- however with the transition to RFR being in different stages for all these markets, I am now a bit confused as to what the appropriate curve is to use for these 3 regions. Do we use RFR curves (ESTR, SOFR, SONIA) for all three markets to discount fixed-coupon bond cashflows? Do we still use LIBOR for some?
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