- Joined
- 5/9/06
- Messages
- 296
- Points
- 26
Hi,
Does anyone deal with credit curves extensively?
I'm trying to get around the problem of having a spike in the credit curve
Lets assume the below is the curve I'm dealing with, though the problem occurs most often in 6M 1Y.
6M 100
1Y 120
2Y 125
3Y 110
4Y 130
5Y 135
7Y 150
10Y 160
15Y 175
20Y 200
30Y 225
If anyone has any thoughts/ideas I would appreciate it.
Regards,
Mike
Does anyone deal with credit curves extensively?
I'm trying to get around the problem of having a spike in the credit curve
Lets assume the below is the curve I'm dealing with, though the problem occurs most often in 6M 1Y.
6M 100
1Y 120
2Y 125
3Y 110
4Y 130
5Y 135
7Y 150
10Y 160
15Y 175
20Y 200
30Y 225
If anyone has any thoughts/ideas I would appreciate it.
Regards,
Mike