Curve construction w/ cross currency basis

stas · March 30th, 2012, 12:25 pm

Could someone point me to some literature that discusses issues of discounting cash flows and projecting forward rates in a currency different from the margin/collateral currency. So for example, how to construct a curve for an entity collateralized in USD to properly price a vanilla IRS against 6M Euribor. Any comments from people with practical experience doing this would be greatly welcomed.

stas · April 2nd, 2012, 12:26 pm

An equivalent question is what how to determine the value of 1 Euro payed at time T today for a USD institution.

rockinsquat · April 4th, 2012, 5:36 am

"Cross currency swap valuation" by Boenkost & Schmidt could be a good reference to point to for this kind of questions.

seventwooff · April 10th, 2012, 11:23 am

Look at Fujji, Shimada et al.. (2010)...