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Showing posts with label
Cross-currency basis spread
.
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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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