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by antoineconze
May 24th, 2017, 8:46 am
Forum: Technical Forum
Topic: Why are EUR/USD, GBP/USD and EUR/GBP Cross-Currency-Spreads so perfectly in line?
Replies: 4
Views: 1818

Re: Why are EUR/USD, GBP/USD and EUR/GBP Cross-Currency-Spreads so perfectly in line?

 @BerndSchmitz: you cannot simply move a spread from one leg to the other, because even if the day count conventions were the same on both legs, the PV01s would be different, as each leg is discounted by its own discount curve, each discount curve being the synthetic funding curve built from the col...
by antoineconze
May 22nd, 2017, 9:24 am
Forum: Technical Forum
Topic: Why are EUR/USD, GBP/USD and EUR/GBP Cross-Currency-Spreads so perfectly in line?
Replies: 4
Views: 1818

Re: Why are EUR/USD, GBP/USD and EUR/GBP Cross-Currency-Spreads so perfectly in line?

Actually if you compute the synthetic spread as the difference between the spreads of a EURUSD XCCY and a GBPUSD XCYY you end up with a constant notional EURGBP that pays a spread on each leg, rather than the synthetic spread on one leg and no spread on the other leg, so that's not even a standard c...