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Understanding cross currency basis swap quotes involving three currencies

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swapper
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Joined: February 20th, 2013, 1:56 pm

Understanding cross currency basis swap quotes involving three currencies

December 29th, 2013, 5:30 am

I have seen some market data vendors like tullet and BGC quote cross currency basis swap in the following format: JPY Libor vs Euribor vs USD libor . It would be very helpful if anybody could point to some literature describing the mechanics of such trades. Currency pairs involved are JPY/EUR and JPY/USD.
Last edited by swapper on December 28th, 2013, 11:00 pm, edited 1 time in total.
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giladr
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Joined: May 28th, 2008, 5:22 am

Understanding cross currency basis swap quotes involving three currencies

December 30th, 2013, 6:12 am

Might be that what you're seeing is a eur/jpy ccirs with usd csa?
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