I have a Dynamic Nelson Siegel (DNS) based rv model.
I want to know if I can use pre and post-crises curves interchangeably in my calibration and out of sample testing. I.e. those without OIS discounting pre-crises and those with OIS discounting that we observe today?
I had hoped that even though they are derived differently the market rates themselves will not have changed in terms of their relative value (if 2-10 looks flat then it still looks flat post crises) same for butterfly trades (and their dynamics should also be unchanged). The differences are in the PnL of the host institutions who can no longer fund at Libor but for my purposes i.e. relative value (I am hoping) it is not necessary to introduce this complication am I right. I can just calculate the PnL in terms of the basis point changes observed (I effectively assume that I am an institution that can fund at Libor throughout)? Or is it like comparing apples and oranges?