Ondrejs Quant Blog: A word on cross-currency basis The attached graph shows that cross-currency basis on derivatives market has been traditionally correlated with the differential of credit risk premium in respective countries
Understanding EUR USD Cross-Currency Basis Futures Learn about EUR USD Cross-Currency Basis Futures from CME Group, including info about the underlying index, specifications and more about this contract
The Final Guide to Cross Currency Basis Explained In this article, we dive deep into the fundamentals of Cross Currency Basis, explore the market drivers that influence it, consider strategic approaches to trading, and speculate on future trends
Cross-Currency Basis Swaps | CFA Level 1 | CFA Exam Prep Cross-currency basis swaps were part of the answer This swap structure typically involves two counterparties who agree to exchange not only floating interest payments but also principal in different currencies at the start and conclusion of the swap’s life
Cross Currency Basis Swaps: Hedging FX in a Global Portfolio In basic terms, the cross currency basis is a measure of the relative shortage of a certain currency in the market relative to its demand Cross currency basis swaps reflect this relative shortage and work as a type of currency hedge, or a type of hedge on a broader global portfolio
Cross Currency Basis Curve Introduction - Zenodo The new illiquid zero rate curve is viewed as the sum of the original interest rate curve and a zero spread curve This zero spread curve is called cross currency spread curve Cross currency swap has principal exchange at both effective date and maturity date done at the same FX rate