<t>they are difference in two swap rates: AM3s vs EONIA AM3s = "annual money 3s" = fixed annual act/360 vs euribor 3m quarterly act/360EONIA = fixed annual act/360 vs EONIA daily compounded annual pay act/360, both legs 1day settlement lagthe 1day settlement lag makes it difficult to find a shortcut...

Mike, your blog is great, thank you for the practical guides to these useful features

what a pain, how will this stuff ever be exchange-ified

<t>Turns out Tuckman's book doesn't have anything on Xccy swaps or FRNs. Is Stigum's Money Market any good?Is there a practical hedging book for short term interest rate trading & fx forwards similar to Taleb's Dynamic Hedging? Just interested in something that more clearly lays out the the math...

No I haven't seen that book, thanks for pointing it out to me, I'll take a look

daveangel, can you recommend a book on these topics of risk and hedge of swaps? eg hedging swap portfolio by bucketing to market risk factors, Xccy swaps, etcI've looked at Pricing, Hedging and Trading Financial Instruments by Carol Alexander but its more of an overview