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zhyue (态度决定一切) 于 (Tue Sep 25 13:48:00 2007) 提到:
can someone help me to understand how the currency basis swap is determined
given the forward interest rate environment and forward FX rate? For example
, I was perplexed by the change in 2Y Canada/US basis swap (CDBS2 Index) in
the last month. It shot up from 3-4 bps to 12 bps and retreated back to 8
bps. What are the drivers behind that? How should the currency basis swap be
valued in a no-arbitrage mo