I am trying to understand how, in practice, bonds (from simple corporate bonds to structured products like CDOs, ABS, MBS, etc.) are valued and marked to market.
-For corporate bonds,
- fixed-coupon bonds: Treasury curve (yield curve) + credit spread (product of the probability of default and recovery rate derived from comparable bonds or CDS) - floating rate bonds: reference yield curve (like LIBOR+swap curve) + credit spread.
Is this equivalent to the OAS spread?
-For structured products like MBS, model underlying cash flows, prepayments, and the speed of prepayment?
However, I have read about term structure models like Hull-White, HJM, LMM used to build term structure. To value bonds would we use those models, or some interpolation models like Nelson Siegel Svensson, polynomial/piecewise for curve construction?