How do I calculate the dollar impact of basis change for a portfolio of cross currency basis swaps which hedged loans/bonds?
I am thinking it might have something to do with delta and tenors but I am not quite sure of the concept.
Thanks
Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It only takes a minute to sign up.
Sign up to join this communityHow do I calculate the dollar impact of basis change for a portfolio of cross currency basis swaps which hedged loans/bonds?
I am thinking it might have something to do with delta and tenors but I am not quite sure of the concept.
Thanks
Take the weighted average tenor of your book. Weights being the notional of the non usd leg. That is very roughly your duration, which gives you your risk ! Ps i assume all the trades are on the same currency pair