<t>Well, yeah it's a big improvement, but it's still purely arbitrary. I can remember plenty of times when I wasn't able to fund my fwd book at OIS, for example, as it's a fixing rather where you actually fund your book. There's still a cross-currency basis issue between two currencies' OIS because ...

<t>Sorry, I forgot to mention, I think the reason why yours is so different is that you are using 12m deposit rates which have an embedded premium over 3m rates, and for the arbitrage constraint to apply you need to replicate the cashflows of the basis swap which means you need to use Annual fixed v...

<t>Hi,Been a while since I've done this but as a (very) rough back of the envelope, think about the following set of trades:1) 1yr EURUSD Xccy Basis swap: pay 3m Euribor +s vs receive US Libor flat with notional exchange at beginning and end. On bbrg I see -27.5bps for his.2) 1yr EURUSD FX Swap: Buy...

<t>Hi,If you are building a discount curve for pricing FX Forwards, while I agree you should definitely be using futures/swaps/basis swaps for >1yr, for 1yr and below you should be using the fx forwards themselves as they are far more liquid than the deposit & xccy basis swap market sub-1yr. You...

<t>For anything sub-1yr you should just use the market fx fwd price as this is far more liquid than any basis market. As discussed elsewhere, using deposits to price fx fwds will throw up all kinds of trouble... dealers use OIS or the swap curve or whateve to give them a relative value sense of whet...

Some of these are offshore swaps and therefore settle in USD, so you just need to use the FX NDF curve to convert future foreign payments into USD then just discount those USD cashflows in the usual way.

<t>There are payments (delivery) on both days. T/N means a payment tomorrow *and* a payment on the next day (ie on the day after tomorrow). Usually, spot is T+2 , so at T+1 in your example the bank receives USD and pays out SEK, then the following day (T+2), the USD are paid back out and the SEK is ...

<t>This is actually very difficult to do properly, but there are approximations which should be pretty close. To do it properly you would need to have the "Tom/Next" forward points for each currency pair and each day "roll" the FX position forward in time one day (or three or whatever number of days...

<t>In practise, most people just interpolate the forward points or interpolate the "points per day" (but if you want a bit more "accuracy", Ziggy's method to bootstrap the implied interest rate curve is more rigorous) then get the interpolated outright forward rate for the date of the NDF. Then conv...

<t>Well pre-Libor/Euribor fixing that is equivalent to a 3m FX Swap plus a 0x3 FRA out of Today in both USD and EUR. Post-fixing it is just a 3m FX swap. So the answers to your question would be:1) the spread is equal to the difference of the implied EUR interest rates from the FX Swap, feeding in t...

I think "Synthetic FX Calenders" may be a reference to FX Forwards to the IMM roll dates that replicate (usual caveats...) FX Futures. As Martinghoul explains, if you build your curves & use suitable calibratory instruments for the Xccy basis etc you'll be able to produce this.

<t>Hello Padaiu,It's been a while since I did any of these, so I may be a little rusty, but here goes...A Resettable cross currency swap is (usually) a Xccy Basis swap that has the FX rate reset when the floating coupons reset. The MTM on the swap (largely a result of FX movements on the final princ...

<t>I think it's to do with the physical cash - the FX Fwd market was one ways banks could get hold of *physical* dollars. It doesn't matter whether the credit risk is negated or not, because these banks needed the Dollars - so supply/demand factors.Additionally, because the principals are exchanged ...

<t>Hi,I wrote the attached paper a couple of years a go. In the light of the financial crisis it's out of date (and certainly has a few errors in it) with respect to the FRA/OIS spreads and how EONIA etc have traded since August 2007, but it should give you a bit of an idea about how to go about doi...

<t>As Martinghoul has alluded in many threads (I'm amazed at your repeated patience, Martinghoul!), the issue is very complex. For what it's worth, the following method was used at my old shop (given they don't exist any more, I may as well post the paper) that looks at how swap MTM is collateralise...