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The dominant IRS float tenor at longer maturities for EUR is 6m Euribor. So we assume that the EUR 3m leg of the xccy basis swap is constructed from a 6m IRS and therefore also 3s6s EUR basis. In the interbank world there will also be risk contributions from the EONIA or FedFund discounting, via OIS or again basis (3sOIS). These sensitivities are generally ...


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You wrote "the quotes I have for the swap don't look like rates". The swaps are quoted in terms of "forward points" which have to be added or subtracted from the spot quotation. So for example if Spot AUD/USD is quoted at 0.7634/39 and six-months swaps are 112.1/111.1 it would mean that the 6 month swap is quoted 7634+112.1 pips i.e. 0.77461 on one side and ...



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