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2 votes

Competitive quote convention for FX swaps

For an FX swap the sensitivity of the PV of a transaction has small exposure to the spot FX rate, which is often mitigated by transactions conventions. The dominant risk quantity to which you are ...
Attack68's user avatar
  • 10.7k
2 votes

What XCCY pricing inputs do large market makers use for FX Forwards/Swaps?

To be blunt, we make them up - generally as an implied yield over sofr if usd is the main base currency quote. This is fundamentally true for almost every derivative price, at some level the price ...
river_rat's user avatar
  • 1,080

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