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by kelang
January 27th, 2012, 1:43 pm
Forum: Technical Forum
Topic: FX forward and xccy basis swap pricing/curve
Replies: 1
Views: 19907

FX forward and xccy basis swap pricing/curve

<t>Hi All,I have a question about the FX forward and cross-currency (XCCY) basis swap pricing under OIS discounting.Say the currency pair is CCY/USDFor USD side, the OIS curve and 3M curve have been builtFor CCY side, the OIS curve and 3M forecasting curve have been builtNow, I would like to bootstr...
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