compounding basis swaps
Posted: April 21st, 2017, 4:06 pm
by equanimity
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?
Re: compounding basis swaps
Posted: April 21st, 2017, 5:34 pm
by mtsm
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.