March 20th, 2008, 5:19 pm
given both USD and JPY zero curvesin the cross currency swap, market imposes a spread on JPYthe basis spread is quoted in swap spread1Y +1.5 bp2Y +2.8 bpetc...from these spread quote, how to generate the discount curve for discounting JPY cash flow? or where i am able to find some reference?again, what are givens includes USD zero curve, JPY zero curve and spread quotes in cross currency swaps.thanks