Paolo Mazzocchi

Deloitte

Analyst

Via Tortona, 25

Milano

Italy

SCHOLARLY PAPERS

2

DOWNLOADS

700

CITATIONS

0

Scholarly Papers (2)

1.

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 Deloitte
Downloads 364 (79,630)

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

2.

Advanced EONIA Curve Calibration

Number of pages: 15 Posted: 08 Dec 2016
Digital Gold Institute, Banca IMI and Deloitte
Downloads 336 (87,328)

Abstract:

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