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equanimity
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Posts: 29
Joined: April 30th, 2013, 2:54 am

compounding basis swaps

April 21st, 2017, 4:06 pm

Is it market convention to compound basis swaps denominated in USD, EUR and GBP?  For example, in the case of a 3s6s basis swap for 5 years, is the 3-month leg compounded and paid semi-annually?
 
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mtsm
Posts: 352
Joined: July 28th, 2010, 1:40 pm

Re: compounding basis swaps

April 21st, 2017, 5:34 pm

In USD I believe so, yes. Not in EUR or GBP afaik. Pick up the opengamma guide and I believe that the author said, that the guide would be reedited and a change would be made to precisely that point. There may also be an ISDA note on this I think. Check.
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