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Dec
10
answered What are the math topics involved in FRM 1
Nov
11
comment Implied interest rate from FX swap
Awesome! How did you find out the conventions? Thanks.
Nov
11
accepted Implied interest rate from FX swap
Jul
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answered Valuation of a Sinking Bond Fund
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awarded  Popular Question
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comment Implied interest rate from FX swap
Apologies. I clarified the currencies in the edit.
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revised Implied interest rate from FX swap
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revised Implied interest rate from FX swap
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asked Implied interest rate from FX swap
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awarded  Teacher
Oct
25
answered Where can I find exercises on building a project finance spreadsheet?
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.
Oct
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comment Where do swap rates and/or long-term forward rates come from?
Cute, but ... is there a real answer?
Oct
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asked Where do swap rates and/or long-term forward rates come from?
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Sep
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accepted Equivalency of FX forwards and FX basis swaps for risk-management purposes
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awarded  Supporter
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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. :-)