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.



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