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3

As for the book, the best one I have come across is Pricing and Trading Interest Rate Derivatives by Darbyshire, although it's a bit pricey (indeed as most finance books are) (https://www.amazon.com/Pricing-Trading-Interest-Rate-Derivatives/dp/099545552X). I used to trade Xccy Basis Swaps (which is just another name for Cross-Currency Swaps): let me try to ...


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The question is subjective. Suppose you have a USD based accounting framework and an interest rate swap in NOK. At the accounting period 1 the USDNOK is 10, and the IRS is worth 100 NOK (10 USD). At the accounting period 2 the USDNOK is 11, and the IRS is worth 110 NOK (10 USD). In your USD accounting framework there is no reported PnL, but clearly this is ...


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I believe that cross currency basis swaps are marked to market always. The issue is that theoretical value for an xccy swap is always 0. but they don't trade at 0, that's why there is a premium for this kind of trade. On the fixing side - you are receiving and paying float. So the value is 0. The issue is that the spread is based on market demand, and ...


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