December 5th, 2012, 6:19 pm
Hi Gammaslide,Why are you valuing a EUR swap with USD collateral? Is the USD collateral cheapest to deliver, and does the CSA agreement allow you to post USD collateral on a Euro trade? You're aware that ISDA are launching standardized CSAs very soon with 17 currency silos, so you shouldn't have to collateralize one G17 currency using another...The issue you have here is that XCCY OIS basis swap quotes are not particularly liquid in the market. You may have to do this using FX forwards...