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It is not very clear what you are asking. On fixing date, the floating leg has a duration that is approx. the duration of a ZCB with maturity equal to the next payment. Anyway, the pricing of the floating leg is always the discounting of forward rates so the fixing date has not a direct impact on the price but rather on the interest rate sensitivity.


If we work through this practically, a hypothetical derivative under IFRS9 cash flow hedge should be representative of the underlying, henceforth the MTM CCS must be mark to market on the currency side opposite to that of the hedged instrument. For example, a EUR corporate might issue a yankee bond in 100mm USD and cross currency swap it back to EUR under a ...

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