All Questions
Tagged with interest-rate-swap fx
10 questions
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50
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Static/Dynamic Replication of Range Accrual and TARF?
I am trying to understand how one can replicate (approximately, if not entirely) the pay off for a Range accrual note and FX TARF? There is generic literature, which refers Range Accrual as a series ...
- 1
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52
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FX modelling in the real-world measure, $\mathbb{P}$ and its correlation to indices
So I am looking to model FX pairs in the real world measure $\mathbb{P}$ and their relationship to indices. From what I understand, if we have an FX, say EURUSD, the price will trend with the forward ...
- 39
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2
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3k
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How to quickly calculate PV01? Or quickly calculate notional back given PV01 and duration?
is there a way to quickly calculate the PV01 of for example for a swap EUR fix floating 10 years?
And is it possible to calculate the Notional, with a given PV01 and the years of the trades or ...
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140
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How do you identify nondeliverable swap
what is unique about NDS transactions, how can I identify them using certain parameters or attributes specific to NDS?
2
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2
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8k
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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 ...
- 21
6
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2
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14k
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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) ...
1
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2
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946
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FX risk of basis swap in foreign currencies
As an US investor, if I enter a basis swap in a foreign currency (say Euribor-Eonia basis in EUR), and book my trade using USD. I must have some sort of FX risk, right?
How do I hedge such risk? I'd ...
- 712
3
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3
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2k
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Cross Currency Swap
1) What is the difference between Cross Currency Swap and Cross Currency Basis Swap? Appreciate if this can be explained in layman's terms.
2) Could you advise me which swap rate to be used for the ...
- 31
1
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2
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860
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what data to use to compare the interest rate among different currencies?
Very new to fixed income signals. I am a little confused about which data to use to compare interest rate among different currencies.
For example, I am interested in compare interest rate in the ...
- 203
2
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2
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25k
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how to calculate a cross-currency swap in basis pt?
This question has been bugging me for awhile now and I've been trying to find a definite answer, however, no avail...
My question, in specific, relates to the USD/CNH CCS rate. From what I understand ...
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