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how do you calculate the basis in a basis swap...?
Posted: November 11th, 2005, 8:35 am
by vienneseblues
and what is the FX risk involved, if there is initial and final exchange? Thanks
how do you calculate the basis in a basis swap...?
Posted: November 11th, 2005, 9:36 am
by Icecloud
there's a basis swap market where you can get the basis swaps...
how do you calculate the basis in a basis swap...?
Posted: November 13th, 2005, 3:41 am
by Najiboo
The FX Risk is the basis swap Net value!to hedge it you need to but/sell this amout in the FX spot market!ps. Basis Swap= is the swap spread to add/substract to your local swap rate against a USD swap leg!