I am trying to recreate the charts on slide 6 on the below. Basically "test" the formula for the cross-currency basis for EURUSD. I am using as target EUXOQQ1 BGN Crncy, which is the ESTRON vs SOFR rate 12Month basis, so my goal is to "land" on it, as they do in this presentation enter image description here

But I am having trouble with the rates to use. Pulling EURUSD spot and 12m forward points to calculate Forward rate is easy enough, but then as far as the interest rates I am striking out - tried SOFR swap, and ESTR swap, and the formulaic basis does not equal the reported, tracked basis EUXOQQ1.


  • 2
    $\begingroup$ You just need to load FXFA and select the curves you desire. See details here and here. $\endgroup$
    – AKdemy
    Commented Feb 25 at 11:06
  • $\begingroup$ Since it will all be market quoted data from different sources there is no reason why this should match exactly though. $\endgroup$
    – AKdemy
    Commented Feb 25 at 11:55
  • 1
    $\begingroup$ Make sure the 1yr rates you are using have identical day count. Eg Annual act/360. $\endgroup$
    – dm63
    Commented Feb 26 at 4:23


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