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Curve construction w/ cross currency basis
Posted: March 30th, 2012, 12:25 pm
by stas
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.
Curve construction w/ cross currency basis
Posted: April 2nd, 2012, 12:26 pm
by stas
An equivalent question is what how to determine the value of 1 Euro payed at time T today for a USD institution.
Curve construction w/ cross currency basis
Posted: April 4th, 2012, 5:36 am
by rockinsquat
"Cross currency swap valuation" by Boenkost & Schmidt could be a good reference to point to for this kind of questions.
Curve construction w/ cross currency basis
Posted: April 10th, 2012, 11:23 am
by seventwooff
Look at Fujji, Shimada et al.. (2010)...