标题: Credit risk in FRA [打印本页] 作者: LBriscoe 时间: 2011-7-11 19:35 标题: Credit risk in FRA
Hi
Could anyone explain, why when we value credit risk on an FRA we discount the payment at the company's borrowing rate as opposed to LIBOR. I thought in Level 2, when we value an FRA we would discount the payment at LIBOR to find the payment to the in the money party.
