We know that we always build the discounting curve and projection curve from money market instruments, index Futures, interest rate swap and OIS Libor swap (depends on the period).

But why don't we never use the products like treasury bond, note and commercial paper etc which seem much simply and direct connected?

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    $\begingroup$ this answer may be helpful quant.stackexchange.com/questions/18277/… $\endgroup$ – Alex C May 19 '19 at 17:57
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    $\begingroup$ It depends what you are discounting. If you are discounting cashflows that are tied to OIS rates because there is a collateral agreement which specifies OIS rates as the remuneration then thats what you use... But if you have a collateral agreement that posts only credits bonds then your cost of funds will naturally be the repo rate associated with those bonds. In practice multiple discount curves are used to value different derivatives. $\endgroup$ – Attack68 May 19 '19 at 19:31

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