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!
You don't need all the discount factors. You just need the currency basis swap market, which exists precisely for this purpose. For example if the 5 yr eur/usd currency basis is -25, it means that you can exchange a euribor-25 liability for a usd libor flat liability. These swaps also have an exchange of principal amounts at the start and end to convert the debt synthetically from euro to dollars.
So your eur+20 liability would become a usdlibor+ 45 liability in dollars.