Questions tagged [cross-currency-basis]
The cross-currency-basis tag has no usage guidance.
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What XCCY pricing inputs do large market makers use for FX Forwards/Swaps?
While there are a few similar questions on here regarding FXF pricing, I was unable to find something that answers this directly.
To be more specific, it's clear that as per CIP, the pricing inputs ...
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Application of Reciprocal Currency Rates and Triangular Arbitrage in FX Trading
After nearly a decade as a software engineer in finance, I find myself grappling with a question about FX trading that I've always hesitated to ask, particularly concerning the calculation of ...
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Test Formula for Cross-Currency Basis by Using S, F and Rates. What Rates to Use?
I am trying to recreate the charts on slide 6 on the below. Basically "test" the formula for the cross-currency basis for EURUSD. I am using as target EUXOQQ1 BGN Crncy, which is the ESTRON ...
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Arbitrage finding in the currencies markets
I was wondering whether anyone can improve on the following arbitrage finding scheme in the currencies market.
The following is modified from the book of Capinaki and Zastawniak called Mathematics for ...
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How do we price a Non-USD currency FX Forward pair by using cross-currency basis for each currency?
For e.g., when pricing a GBPUSD FX-Forward we build the USD SOFR curve through which we get USD risk-free rate. For the GBP risk-free rate, we use the sum of GBPUSD Basis and SONIA. However, if we ...
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ConstNotionalCrossCurrencyBasisSwapRateHelper in QuantLib doesn't give expected result
I'm trying to bootstrap to get discount curve based on cross currency basis swap using ConstNotionalCrossCurrencyBasisSwapRateHelper in QuantLib. As a test, I tried to bootstrap the discount curve ...
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Should xccy basis be added before bootstrapping (to swap curve) or after bootstrapping (to zero curve)?
I am trying to bootstrap a GBP zero curve off of a GBP swap (par) curve inclusive of xccy basis (vs USD). Say I have my two curves (swap and basis) - would I sum these and then bootstrap to get zeros, ...
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determine cross currency basis spread in illiquid markets
I have a very special case, where a client needs a quote on a cross currency basis swap EUR/DEV, DEV is a hypothetical currency where the market for cross currency swaps is inexistant. client wants to ...
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How does Bloomberg compute the cross currency swap basis?
First, look at the FXFA for EURUSD
The EUR and USD Yield & FX swap rate on 10/18/2023 are given as:
The computations are shown in this answer.
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How to Bloomberg compute the implied Yield ? What is FX swap basis spread?
Question 1:
You can see Bloomberg EUR/USD FXFA<go> page attached below
EUR 3 months yield=3.9412
US 3 months yield= 5.6683
Spot Rate: 1.0580
How does it find FX swap rate as 1.062732?
Question ...
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EM currency bond pricing and swaps
EM ccy denomimated bonds (such as MXN, TRY) are often priced using cross currency swap rate (MXN-USD, etc).
I guess this is because their fundings are in USD.
My question is who are the participants ...
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Comparison shorted dated tbills and determine which asset class is best return
i was wondering how to create a comparison table across various time horizons for given currencies and see the return/spread over SOFR.
Any Bloomberg links/functions i could use?
Ideally i would like ...
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Substituting the basis swap for the FX forward
I have come across a response to the question titled "Cross currency swap a combination of 2 Interest rate swap" on this site. There, it is stated the following:
Long story short: As @...
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XCS and FX swaps: market risks
XCS (cross currency swap) can be:
Float vs float #1
Fixed vs fixed #2
Float vs fixed #3
#2 can be constructed with 2 fixed vs float irs and 1 xccy basis swap #1
#3 can be constructed with 1 irs and ...
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Comparing debt issuance across currencies [closed]
Imagine I’m a European corporate thinking of issuing a bond in either GBP or EUR. I have the spread above gilts for a GBP transaction and a spread above mid swaps for EUR. How do I see which one would ...
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