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You most probably don't want to estimate the covariance of prices but rather the covariance of returns. Thus for equities you can take the return of the traded price. For bonds: if the maturity is long enough (say bigger than 2 years), then you can take the returns of traded prices. The pull to par should not be too relevant here. if the maturity is short ...


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You should use whatever currency in which the debt is denominated. Specifically, since it is the EUR currency and interest rate risk associated with the debt, some sort of EUR curve should be used. Theoretically, if you are looking for the present value in USD, although the debt is denominated in EUR, you could convert future payments at the forward ...



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