New answers tagged cross-currency-basis
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How do we price a Non-USD currency FX Forward pair by using cross-currency basis for each currency?
This is just an extension of @Dimitri 's answer but with numbers to eluciate the concept.
when pricing a GBPUSD FX-Forward we build the USD SOFR curve through which we get USD risk-free rate. For the ...
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How do we price a Non-USD currency FX Forward pair by using cross-currency basis for each currency?
If your accounting is in ccy$_0$, such as USD or EUR, then you discount the ccy$_1$ leg of the ccy$_1$-ccy$_2$ forward with ccy$_1$ rfr + ccy$_1$-ccy$_0$ cross-currency basis spread and likewise ...
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