<t>Could you please let me know if the following is correct?Swap Leg 1 Leg 2 USD EUR Collateral Currency USD Tenor 3M 3M Leg1 Forward curve USD/3M/LIBOR Discount Curve USD OIS Curve Leg2 Forward curve: EUR/3M/EURIBOR + (USD-EUR) LIBOR basis spread (negative) Discount Curve: USD OIS + (EUR-USD) OIS b...

<t>Hi,That clarifies a lot of things. The live feed we were getting was for LIBOR based Swaps.The bbalibor website mentions two things as 'Fixing Day' and 'Value Day'. For example, the difference between Fixing day and Value day for USD is 2 business days. Does it mean that the USD/LIBOR fixed today...

<t>Now that leads me to another query.Do you mean to say the LIBOR quotes are updated only once a day after polling. I think we also get LIVE feed for LIBOR quotes from Reuters/BB. Could you tell me how it is arrived at? So when we have the LIVE feed, we can as well use it instead of Deposits.As I u...

<t>By Rate Indexes I meant LIBOR quotes.For example, we generally use the following deposits until 3 months followed by futures until 3 years and then followed by Swaps.DEPOSIT/ONDEPOSIT/TNDEPOSIT/SWDEPOSIT/1MDEPOSIT/2MDEPOSIT/3MNow can't we instead use the belowLIBOR/ONLIBOR/TNLIBOR/SWLIBOR/1MLIBOR...

<t>Hi,When we are building a LIBOR curve (say 3M LIBOR curve), why is it a practice to select deposits in the short end (Until 3 months maturity) instead of Rate indexes? Since it's LIBOR curve, wouldn't it make more sense to select LIBOR rate indexes so that the "Internal Arbitrage" that might exis...

Hi,Thank you both. I understand now.

<t>Hi,Can some one clarify the below queries for me? 1Q. Suppose I have a vanilla IRS in USD which is collateralized in EUR. Which OIS discounting should I use, USD OIS or EONIA? I have read in text that OIS of collateral currency is to be used but in practice (at my office), USD OIS is being used. ...

Hi,I have offers to work on both Calypso as well as Front Arena (SunGard). Can someone please guide me which of them is better platform with respect to future growth and opportunities?My role is a front office business analyst.Thanks in advance.

<t>Hi,I had my interview yesterday for a Trade Management system company for Front Office Business Analyst role. Below questions were kind of tough for me. Can someone answer them for me please?1. Why use futures and why not FRAs in the yield curve construction?I answered liquidity, exchange traded ...

Shouldn't it be the other way round, that other currencies' money markets are less liquid than their FX markets and hence money market curves are being built using FX spreads & USD curve?

<t>Hi,We have recently built money market curves for non-USD currencies (say XXX) using USD money market curve as the base curve and determined the non-USD money market curve using FX forward points between USD and XXX. Below are my questions.1. We seem to getting the FX forward points as a kind of ...

Do you guys know how to make the underlying bond in a bond TRS to use market price instead of theoretical price to arrive at estimated future price for underlying in front?