Anh

discount curve from fx forwards / cross currency basis swaps

7

Is there a way to calibrate a discount curve from traded fx forwards? Taking USDJPY as an example. As an input I have the fx spot, 1M, 3M and 6M...

MtMCrossCurrencyBasisSwapRateHelper Produces Unrealistic Zero Rates When Using OIS Indices (Ester/SOFR)

5

Hi, When building a mark-to-market (MtM) cross-currency basis curve between EUR (Ester) and USD (SOFR), the MtMCrossCurrencyBasisSwapRateHelper gives unrealistic zero rates and discount factors for the long end of the...