Tagged Questions
3
votes
1answer
841 views
Equivalency of FX forwards and FX basis swaps for risk-management purposes
Can one deem an FX float-to-float swap and a FX forward equivalent on dates immediately after repricing? The reason I am asking, I am hedging something that can be modeled via an FX forward, I was ...
10
votes
2answers
3k views
Cross Currency Swap Pricing in nowadays environment
Multicurve setting has now become the new paradigm for vanilla swap valuation. For the record I give here (without getting into too much details) the methodoloy for pricing Euribor3M swaps in this ...
