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Tagged with interest-rate-swap fx
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STIR topics: Implied FX-OIS Basis and FX Forward/Swap Pricing
if someone could provide some clarity on the below:
What is meant by 'Implied FX-OIS Basis'? For example: "ON JPY trading at parity, 1W implied OIS basis moved 70BP" and "3M Implied OIS basis moved ...
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Calculating Cross Currency basis swaps
I am trying to calculate cross currency basis swaps for personal use. I generally understand what they are (essentially swapping one currency for another currency on a floating interest rate basis) ...
