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FX-OIS basis, depending on the fx pair, basically means, the implied yield vs the OIS basis of the currency pair. ON JPY trading at parity: USDJPY offered or bid at "0" 1W implied OIS basis moved 70BP: depending if its downward move or upward move, its trading +-70bp vs OIS basis. Upward, therefore, demand for JPY inched up, vice versa demand for ...


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Let me just rephrase in less complex literature. So at $t=0$, you short the expensive side, $S_0$. Use proceed to buy the cheaper side, $P$. You will invest the difference, $(S_0 - P)$ at the risk free rate, where you multiply by $e^{rt}$ due to time value of money, which grows at time $t$. Now at time $t=t$, You close the position, i.e if you have gone ...


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