Published May 27, 2022 | Version v1
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Cross Currency Basis Swaption Model

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Description

A Cross-currency basis swap, which is also called FX basis swap, is a contract between two parties that one side receives a floating rate (plus a possible spread) of currency A and the other receives a floating rate (also plus a possible spread) of currency B. An Fx basis swaption is the option to enter an in-the-money underlying Fx basis swap.

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https://osf.io/4nhyb/download

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crossCurrencyBasisSwaption.pdf

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