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Antoine Conze
Antoine Conze
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ThisThe formula simply states that the XXXEUR forward FX are the same under CSA.EUR collateralization and under CSA.USD collateralization.

ThisIt holds if disregarding the theoretical convexity adjustment that would result from non zero covariance between the XXXEUR FX and the EURUSD basis. Disregarding the adjustment is standard market practice.

This simply states that the XXXEUR forward FX are the same under CSA.EUR collateralization and under CSA.USD collateralization.

This holds if disregarding the theoretical convexity adjustment that would result from non zero covariance between the XXXEUR FX and the EURUSD basis. Disregarding the adjustment is standard market practice.

The formula simply states that the XXXEUR forward FX are the same under CSA.EUR collateralization and under CSA.USD collateralization.

It holds if disregarding the theoretical convexity adjustment that would result from non zero covariance between the XXXEUR FX and the EURUSD basis. Disregarding the adjustment is standard market practice.

Source Link
Antoine Conze
Antoine Conze
  • 5.7k
  • 1
  • 13
  • 15

This simply states that the XXXEUR forward FX are the same under CSA.EUR collateralization and under CSA.USD collateralization.

This holds if disregarding the theoretical convexity adjustment that would result from non zero covariance between the XXXEUR FX and the EURUSD basis. Disregarding the adjustment is standard market practice.