# Calculation cross-currency basis

I am trying to calculate cross-currency basis on the 3-month horizon for a certain set of currencies. The formula should be $$ccb = F/S (1+y_{foreign currency}) - (1+y_{USD})$$ where $$y_{USD}$$ is Libor 3months in USD, S is the spot rate and F is the forward rate (both expressed as the price of foreign currency) and y_foreign currency is the 3-months Libor in the foreign currency. Now, before 2008 I should obtain cross-currency basis close to 0 for almost all the currencies, but that is not the case. For example Japan in 26/11/2004 had an interest rate differential equal to -.0239 (-2.3%). The ratio between spot and forward, however, is not giving me the expected result. What am I doing wrong?

• y_{usd} = 2.4% y_{f} = 0.053% S= 103 FP( forward points) = -61bps. The ccb should be close to 0 in bps. – umbecdl Oct 14 '19 at 8:32

$$ccb/4 =\frac{F}{S}(1+y_f/4)-(1+y_{usd}/4)$$