Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. Join them; it only takes a minute:

Sign up
Here's how it works:
  1. Anybody can ask a question
  2. Anybody can answer
  3. The best answers are voted up and rise to the top

For the FVA calculation, is the funding spread (either borrowing or lending) treated as a piecewise constant function (i.e., if the length of the exposure is 5 month and I know the 3 and 6 months funding spread (say 10bps and 20bps respectively), can I just apply that 10bps and make it the 5 month funding spread?) or it should be treated similarly as the CDS curve (i.e., assuming piecewise constant hazard rates), I would think it seems to make more sense to treat it as a CDS curve however my understanding of the funding spread is more like an interest rate curve.


share|improve this question

Your Answer


By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.