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1

In addition to @dm63's answer maybe two references that are useful: I am not a FI/rates expert, but this book really helped me understand the basics of how things work in practice (not just in theory). And a nice introductory paper specifically on cross currency swaps.

4

I’ll do my best. 1) the start date for a standard currency basis swap is I believe 2 business days after the trade date. This allows time for the banks to set up the payment instructions for the initial exchange of notionals. 2) long the basis means you make money if the -41 becomes -40 in the market. This basis essentially measures the demand for ...

2

First, we will write down the payoff of the mark to market basis cross currency swap. Second, we will do some exploring. Third, we hope that our exploration will be fruitful so that we can understand where we need to calculate the convexity adjustment. The forward curves required are: Domestic LIBOR curve $L^\text{d}$, e.g., if the domestic currency is ...

0

This answer may not be complete - there may be a more nuanced and/or other effect that causes another form of convexity adjustment. The cross-currency swap (xcs) market has a liquid market centered about mtm-xcs. In general practice market pricing is dictated by the prices of the most liquid products, or to put it another way, a convexity adjustment is a ...

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