Serving the Quantitative Finance Community
Bianchetti's Formulas - Are they actually used?
Thank you all for the detailed explanations and the references!
Bianchetti's Formulas - Are they actually used?
QuoteOriginally posted by: mathmarcWhat a pity, I was still hoping to get a precise reference and a copy of one of those elusive early paper.yes, me too...
Bianchetti's Formulas - Are they actually used?
The old paper in Risk Magazine, "Basis for change", 1995 by Fruchard et al is the first glimpse of a consistent framework that I have seen. They specifically consider interest rate basis and ccy basis swaps in the same framework.