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In an FX swap you exchange SGD and MYR payments at the beginning of the swap, and then again (in the opposite direction) at the end of the swap 10 years later. In a Cross Currency Basis Swap, in addition to these payments you also make interest payments quarterly. The party that initially received (i.e. borrowed) the SGD makes interest payments based on SGD ...


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Discount factors>1 is not impossible. It just means that rates are negative, which is indeed the case in several Government bond markets in Europe.


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Firstly, some instruments: FX Swap, also known as an FX Forward: exchange of principals at start, and exchange back at end. The back exchange is at an adjusted FX rate, which differs from the spot rate by the quoted number of forward points. Non-Deliverable Forward FX (NDF): much the same as an FX Forward above, but delivery is of the USD (usually) ...


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Ok, so I think you are just asking what is the dv01 of the bond. So if the yield goes up one bp what's the new price? And if it goes down, what's the new price? That's the simple way that people look at it. For a bond that can't be called or converted in any way it's pretty easy. Let's assume that's what you have. Here's the process: So first you ...


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They need to do 3 swaps (1) Singapore IRS: Receive fixed SGD vs Singapore floating rate for 10yrs on SGD 100mm (2) Currency Basis swap: Receive Singapore floating versus paying MYR floating for 10 yrs. This swap includes an exchange of principal at the start of the swap (pay SGD 100mm/ receive 33mm MYR) and an exchange of principal at the end in the ...



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