Paolo Mazzocchi

Digital Gold Institute

Italy

CheckSig

Milan, 20121

Italy

SCHOLARLY PAPERS

2

DOWNLOADS

946

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Advanced EONIA Curve Calibration

Number of pages: 15 Posted: 08 Dec 2016
Digital Gold Institute, Banca IMI and Digital Gold Institute
Downloads 487 (74,980)

Abstract:

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forward rates, Euribor, Eonia, yield curve, discount curve, bootstrapping, OIS, turn of year, jumps, interpolation, QuantLib

2.

The ABCD of Interest Rate Basis Spreads

Number of pages: 20 Posted: 30 Nov 2015 Last Revised: 13 Jul 2016
Ferdinando M. Ametrano, Luigi Ballabio and Paolo Mazzocchi
Digital Gold Institute, StatPro Italia Srl and Digital Gold Institute
Downloads 459 (80,554)

Abstract:

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forward rates, basis, multi-curve, multi-curve modelling, tenor basis spread, ABCD, pseudo-discount factors, Libor, Euribor, Eonia, yield curve, discount curve, bootstrapping, Deposit, FRA, Future, Swap, IRS, OIS, Basis Swap, turn of year, QuantLib