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Lucky for us, the method you’re describing is unnecessarily complicated. M&M state that distributions have no impact on firm value, so why would it in your model? Check out Valuation Models: An Issue of Accounting Theory by Stephen Penman. In it, he shows how the Free Cashflow model is only valid insofar as it matches the Dividend Discount model via ...


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There is (and was at the time of asking) a fairly liquid Outright SOFR OIS market. You also have futures. So there really is not much of a difference. Risk.net analyzed this. I think frequently OIS curves (FF) are constructed without futures but ultimately, instrument selection follows the same considerations for all curve construction exercises.


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Really a question for the help desk F1 F1. However, that is not a recent change. ICVS 23 uses these since years. If you did not have that, I suspect you restored SWDF DFLT in which case you see what is recommended. Ignore the classification - it's not a commodity - it's ED future. HELP ICVS has white papers. The first one, Building the BBG IR Curve discusses ...


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The formula simply states that the XXXEUR forward FX are the same under CSA.EUR collateralization and under CSA.USD collateralization. It holds if disregarding the theoretical convexity adjustment that would result from non zero covariance between the XXXEUR FX and the EURUSD basis. Disregarding the adjustment is standard market practice.


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