FINCAD Analytics Suite: Hedging FX Exposures with Cross-Currency Basis Swaps

As benchmark rate reform has led to structural changes in the financial and capital markets, particularly in OTC derivatives, the traded volumes of cross-currency basis swaps have kept growing, and the associated trade definitions, pricing and risk management of these swaps are becoming more complex.  

In this webinar, Peter O’Connor of Numerix addresses the use cases and analytics considerations in pricing cross-currency basis swaps and the relationship with collateralised curves. He focuses on curve building in the context of the latest enhancements made to support changes with cross-currency basis curve building in FINCAD Analytics Suite. 

During this webinar, Peter performs a live demo of FINCAD Analytics Suite, where he: 

  • Showcases calibration and validation of cheapest-to-deliver (CTD) collateral agreement curves using supplied FX forward and cross-currency swap quotes 
  • Showcases capabilities for implying FX forwards/points and the variety of approaches to project FX-adjusted curves, including CTD curve utilities 
  • Shows the application of these curves on related financial instruments, namely cross-currency basis swaps and FX forwards 
  • Shows how to achieve customized workflows such as creating stress scenarios for cross-currency swaps and generating pricing grids 

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