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Showing posts with label Cross-currency basis spread. Show all posts
Showing posts with label Cross-currency basis spread. Show all posts
Friday, November 23, 2018

Synthetic Basis Spread Calculation for Short-term Cross-currency Swaps

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For cross-currency basis spread curves, there are usually no quotes available below 1Y time point (for 3M and 6M) and there might be a need ...
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