We're looking to build a pricer to convert a funding spread in a given currency over a specific funding basis e.g. 20 bps EUR 3m€ and convert it to a funding spread to a different currency with a different funding basis say USD 6m$L.
We're in the process of sourcing market swap data including discount factors for EONIA, FedFund and LIBOR for different tenors.
Looking for someone to help us with this, could even turn into a paid project, basically I'm totally lost! Thanks!