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Swaps for Beginners
What is a basis swap?What is a basis curve and how is it constructed?Discuss with examples, points will be awarded for clarity and neat handwriting. Your time starts now.
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- FDAXHunter
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Swaps for Beginners
A basis swap is a swap that has two floating legs, so for example you are swapping 3M Euribor vs 6M Euribor. There are also cross currency basis swaps, where you swap 6M USD LIBOR vs 6M Euribor, for example. In a cross currency basis swap (which are the majority of basis swaps), there is exchange of principal at the beginning and at the end.Find attached a document.Hope this helps.
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