How to discount bonds in HTM portfolio to calculate PV100.
Hello,
I am interested in calculating PV100 (the loss in value by a 1% move of the interest rate curve) of bonds in HTM portfolio. Trading and AFS portfolio losses are calculated by marking to market calculations using the Euro Swap Curve. What would be the most efficient curve to calculate PV100 for bonds in the HTM portfolio? Using the Euro Swap Curve, which is considered risk free somewhat, would not take into account the risk of the bonds included in the portfolio and the impairment that must be applied to them.
Any thoughts? |
发表于 2013-4-29 06:49
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