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Home / Cross Currency Basis Swap Quotation

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  • February 22, 2022 at 2:47 pm #7106
    rkapl123
    Participant

    Dear All!

    After finding out that the quotes we’re using for Cross Currency Basis Swaps (ICAP) are actually based on 2 basis swaps (probably EUR/USD & USD/Currency) and the quote is the spread over the EUR/USD basis, I’m a bit confused whether the current configuration, e.g.

    <CrossCurrencyBasis>
    <Id>EUR-CHF-XCCY-BASIS-CONVENTIONS</Id>
    <SettlementDays>2</SettlementDays>
    <SettlementCalendar>ZUB,TARGET,UK</SettlementCalendar>
    <RollConvention>MF</RollConvention>
    <FlatIndex>EUR-EURIBOR-3M</FlatIndex>
    <SpreadIndex>CHF-LIBOR-3M</SpreadIndex>
    </CrossCurrencyBasis>

    is actually correct as the quote according to ICAP is actually a spread over the EUR/USD spread.
    Unfortunately I’m not a market practitioner to estimate whether the intermediate Ccy Basis Swaps are relevant for the curve construction.

    -regards,
    Roland

    February 22, 2022 at 2:53 pm #7107
    rkapl123
    Participant

    I see that over 4 years ago Niall and I touched that question already, however from a valuation point of view: https://www.opensourcerisk.org/forums/topic/cross-currency-swap-valuation/#post-6150

    Still the question on how to configure such a currency basis swap quote is open for me.

    -regards,
    Roland

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