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.


  • $\begingroup$ How are you valuing the cross-currency basis swap portfolio? By bootstrapping a basis curve? $\endgroup$ – atkins Apr 8 '16 at 11:48

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

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