Latest / The Trading Floor with David Axtell
S2E06 Pricing: From Fair Value to the Number on the Screen
Two treasurers call the same dealer, the same morning, for the same swap — and get different numbers. Neither is being cheated. Episode six opens the gap between what a cross-currency swap is worth and what a dealer will quote you. Host David Axtell builds the clean par rate from a zero-PV condition, then decomposes the quote component by component — credit, funding, capital, operations, profit — and shows why the capital charge is very often the single largest piece. Plus why the same trade costs different clients different amounts. Companion season to Cross-Currency Swaps and Basis Trading…
The skinny
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