/FXSwap

fxswap calc

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this is a new version of the fxswap calculation

CIX: 3m JPY OIS: (USSOC Curncy - (JYSOC Curncy - (JPY3M CMPL Curncy / JPY CMPL Curncy) * 4)) * 100 3m JPY GC Repo: (USRGCGC ICUS Curncy - (TKRPAV3M Index - (JPY3M CMPL Curncy / JPY CMPL Curncy) * 4)) * 100 3m MXN LIBOR: US0003M Index - MXIB91DT Index + (MXN3M Curncy / MXN Curncy / 100) * 4

• MXN: 91-day TIIE Rate (benchmark interbank deposit rate), BBG ticker MXIB91DT Index • BRL: 84-day OIS, BBG ticker BCSFDPDV Curncy • SGD: 3month bill rate, BBG ticker GTSGD3M Govt • KRW: 3month KORIBOR, BBG ticker KRBO3M Index

OIS basis: (USSOC Curncy - (JYSOC Curncy - (JPY3M CMPL Curncy / JPY CMPL Curncy) * 4)) * 100

USSOC Curncy - JYSOC Curncy + (JPY3M CMPL Curncy / JPY CMPL Curncy) * 4

Govie basis: (GB3 Govt - (GTJPY3MO Corp - (JPY3M CMPL Curncy / JPY CMPL Curncy) * 4)) * 100

Let R be the gross interest rate

F=S*(R_usd/R_frn) dollar per foreign ccy, e.g. EUR, has positive points because of higher USD rate alterantively, define s and f as 1/S and 1/F from above f=s*(R_frn/R_usd) foreign ccy per usd, e.g. JPY, has negative points because yen rate is lower than dollar rate

Forward points == P= F-S

so for yen basis per market convention, solve for x in s+p=s*(R_frn/(R_usd-y) y=R_usd-R_frn/(1+p/s)

alternatively, solve for x in s+p=s*((R_frn+x)/(R_usd) (1+p/s)*R_usd-R_frn=x

In logs log(S/F)= x= f − s + 𝑟_𝑢𝑠𝑑 - 𝑟_𝑦𝑒𝑛

s-f= (JPY3M CMPL Curncy / JPY CMPL Curncy)

((((CHF Curncy + CHF1W Curncy / 10000) / CHF Curncy) * (1 + USSO1Z Curncy / 100 * (7 / 360)) - 1) * 360 / 7) * 100 - SFSNT1Z Curncy ((((G4 + G3 / 10000) / G4) * (1 + G1 / 100 * (7 / 360)) - 1) * 360 / 7) * 100 - G2

((1+frnior/100NS_1/360)(spot)/(spot+fwdptSN/fwdptfactor)-1)100(360/NS_1) ((1+D2/10090/360)(D4)/(D4+D3/100)-1)100(360/90)