RQuantLib package function
This takes as inputs
spreads, whose correct definition is unknown to me.
Let I have a floating rate bond, e.g. the BACRED Float 06/18/20 (whose ISIN code is IT0004921646): this bond pays annually EURIBOR 3M + $140$ bps.
spreads of this bond are supposed to be?
Since this issuer has a 7Yr credit spread of about 230 bps (and I can interpolate its CDS curve to have every tenor), I would like to know if the
curve argument should be replaced with the yield curve made up by EUR deposit/IRS curve + credit spread curve.
I guess the
index argument, conversely, is the spot swap curve and the forward rates are computed from it.
P.S.: yes, I admit it, I'm reading the
QuantLib documentation but I'm not understanding anything about this class.