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Hi Please could one of the STIR gurus help me with the following with a worked example (or reference to read up on) if possible. What do STIR traders mean when they talk about- constructing Synthetic FX Calendars using STIR Futures- constructing term spreads and implied financing trades for carry trades on stock indices or currencies.Thanks MarginTale

STIR futures allow you to build a term structure for depo rates. Using these depo rates and interest rate parity, you can compute various FX fwds. You can also use these depo rates to calculate cost-of-carry for various assets.

care to give an example? I would be interested.

What sort of an example are you looking for?

i dont know. was your post just saying you can build a yield curve? i never heard synthetic fx calendars

I am just saying that if you have a yield curve, you can calculate where fx fwds should be.

I think "Synthetic FX Calenders" may be a reference to FX Forwards to the IMM roll dates that replicate (usual caveats...) FX Futures. As Martinghoul explains, if you build your curves & use suitable calibratory instruments for the Xccy basis etc you'll be able to produce this.