5 июн. 2024 г. · The FX swap is quoted in forward points by the brokers for the far leg, but the spot for the near leg is not quoted.

25 нояб. 2022 г. · The market convention for quoting an overnight fx swap where one leg is USD and today is a USD-holiday (but not a holiday in the other currency).

20 июн. 2022 г. · By convention a swap moves the base currency from an earlier date to a later date. If you "do" or "buy" the ON spread you will be selling the ...

1 июн. 2022 г. · Each leg uses the day count appropriate to the currency for that leg. The same is true for a cross-currency swap - each leg is valued using its own day count.

1 авг. 2021 г. · I am looking for conventions (delta, atm, premium adjusted) related to FX Options. For popular currency pairs (eg USD EUR) they should be found in Ian Clark's ...

FX-swap market convention question for o/n. Can someone enlighten me regarding the market convention for quoting an overnight fx swap where one leg is USD ...

21 мар. 2018 г. · Although FX Swaps are priced via an interest rate parity argument the settlement isn't actually determined by interest rates.

10 дек. 2020 г. · Yes. The swap is quoted in fwd points relative to spot (sssuming that what you mean by r_term is the term interest rate of one currency and r_base the term ...

14 мар. 2019 г. · They have a very small spot risk component which arises from the present value of future cash flows different from the value of cash flows today.

Instead of DES, use SWPM on Bloomberg. Use different currencies on the two legs. Then SWPM will show you the market comventions for various currency pairs.