meta user
network profile
| bio | website | |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 10 months |
| seen | yesterday | |
| stats | profile views | 8 |
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Oct 26 |
awarded | Teacher |
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Oct 25 |
answered | Where can I find exercises on building a project finance spreadsheet? |
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Oct 23 |
comment |
Where do swap rates and/or long-term forward rates come from? Phil H, when you say "is determined by the fixing" I have a little trouble understanding what you mean. I assume you're talking about OIS discounting for collateralized swaps. But still one needs Libor (3M, 6M) forward rates in the future. Where would those come from? On top, I assume not all swaps are collateralized and that would still require a different discount curve. |
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Oct 14 |
comment |
Where do swap rates and/or long-term forward rates come from? Cute, but ... is there a real answer? |
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Oct 13 |
asked | Where do swap rates and/or long-term forward rates come from? |
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Sep 2 |
awarded | Scholar |
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Sep 2 |
accepted | Equivalency of FX forwards and FX basis swaps for risk-management purposes |
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Jul 23 |
awarded | Supporter |
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Jul 14 |
comment |
Equivalency of FX forwards and FX basis swaps for risk-management purposes John - yes, I agree. My only concern here is, that the I'm not entirely sure how to show a "floating rate" forward. In other words, a forward is typically a fixed for fixed exchange of currencies, it's very easy to show, that a fixed-for-fixed swap is a series of such forwards. For floating-for-floating (or basis) swaps this is much trickier it seems. Your comment however made me think, and I am leaning towards the conclusion that a basis swaps is NOT equivalent to a forward. Thanks for this little nudge. :-) |
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Jul 13 |
awarded | Student |
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Jul 13 |
asked | Equivalency of FX forwards and FX basis swaps for risk-management purposes |
