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Re: Credit Spread

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Hi Ignacio,

 

Currently for fixed interest rate transactions, the credit spread is used only during discounting.

 

So, if you need the spread to be added to the interest rate of the transaction, you have to add

it implicitly as you have mentioned above.

 

For variable interest rate deals, however the credit spread is used during forward calculation to determine the variable interest rate for the forward periods.

 

May be this could be a workaround albeit a tedious one.

 

Best Regards,

Balaji


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