January 18th, 2011, 9:56 am
well not always, for USD, if it is EUR issuers for SEK or MYR, no doubt, but even EUR issuers sometime may keep USD open, esp now that there are chances they have shortage of USD funding. Apart from that, if you indeed have a xccy overlay, then that has to be also callables, and if that is the case, then with the accreters and the current term-structure of the eur/usd basis and the fx vol, you probably cannot model it without modelling the xccy explicitly, no? but I doubt this is very common, for all you know, the issuers fund these in straight usd