Timeline for Interpolating FX forward points
Current License: CC BY-SA 3.0
5 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Sep 13, 2012 at 22:04 | review | First posts | |||
| Oct 6, 2012 at 9:54 | |||||
| Sep 11, 2012 at 13:29 | comment | added | Phil H | Well, not any more! It used to be the case that cash+fx was an arbitrage circuit. But the disappearance of cash (and thus wide prices) and the arrival of the basis has removed it. Perhaps the closest would be via Repos in both markets, but that does add collateral risk to the (reduced) counterparty risk and I assume additional costs to maintain and manage all the required collateral. | |
| Sep 6, 2012 at 13:45 | comment | added | BlueTrin | Do you happen to really see arbs ? When I was working on a swap desk the b-o was so wide that I never even tried to look for one. | |
| Sep 6, 2012 at 12:15 | comment | added | Phil H | The classic arb is to use depos on both currencies. Unfortunately that arb no longer holds and there is a basis involved. Also, depos are calendar dated, and FX fwds are calendar dated, so there is no extra definition of the cash curve between the FX dates as required. OIS rates, though, have meeting date definition. | |
| Sep 6, 2012 at 9:54 | history | answered | BlueTrin | CC BY-SA 3.0 |