1
$\begingroup$

Suppose India and South Africa goes into a cross currency basis swap. But the collateral is specified upon USD. How does one value this type of swaps? Or is it even available directly on the markets?

$\endgroup$

1 Answer 1

2
$\begingroup$

Multiply each INR (resp. ZAR) leg flow forward value by the corresponding INRUSD (resp. ZARUSD) forward FX, then discount at USD OIS.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.

Not the answer you're looking for? Browse other questions tagged or ask your own question.