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Tenor basis quote - one swap basis two swap basis
Hi - I notice that Bloomberg quotes two different types of tenor basis e.g. 3m-6m. In the description it refers to one as a one swap basis and one as a two swap basis. Could anyone confirm what the difference is?
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- Martinghoul
- Posts: 188
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Tenor basis quote - one swap basis two swap basis
What exactly do you want confirmed?
Tenor basis quote - one swap basis two swap basis
Well I'm assuming that a one swap basis is a basis swap i.e. 3m float vs 6m float and two swap is the difference between a swap fixed vs 3m float and another swap fixed vs 6m swap. However it is nowhere made clear - HELP HELP didn't help and cannot find on google. I was hoping someone could confirm or otherwise my assumption. Thanks
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- Martinghoul
- Posts: 188
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Tenor basis quote - one swap basis two swap basis
I can confirm that your assumptions are correct, to the best of my knowledge.