Calculate cross-currency basis swap value and implied funding cost in foreign currency. Measure and arbitrage cross-currency basis deviations from covered interest rate parity.
Calculate cross-currency basis swap value and implied funding cost in foreign currency. Measure and arbitrage cross-currency basis deviations from covered interest rate parity
Each component has a specific meaning:
Note: Interpret the cross-currency swap basis result against the thresholds and context described above.
Enter the covered interest rate parity for the scenario you are assessing. Calculate cross-currency basis swap value and implied funding cost in foreign currency. Measure and arbitrage cross-currency basis deviations from covered interest rate parity. Use the cross-currency swap basis result to inform your calculation.