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
Featured Speakers
Peter O’Connor
With over 15 years’ experience in the financial services industry, Peter serves as the Product Manager for FINCAD Analytics Suite at Numerix. In this role, he is charged with ensuring that the FINCAD Analytics Suite library is kept current with evolving market practices and client requirements, and ensuring quality enhancements with a focus on roadmap, development standards and managing client satisfaction.
Prior to joining Numerix, Peter held key derivatives pricing and risk analyst roles at leading financial institutions including HSBC and BNY Mellon among others. He attained a MSc in Financial Services from the University of Limerick and is also FRM certified in Risk Management.
Udi Sela
Udi Sela has been active in foreign exchange derivatives markets for over 25 years. As a senior derivatives trader and trading manager at Citibank and JPMorgan, he developed expertise in derivatives spanning both vanilla and complex FX options. After his trading career, he has led product development, pre-sales and business development functions within a range of financial software vendors. Mr. Sela is currently responsible for product and field marketing at Numerix.
