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How Cross-Currency Swaps Are Valued: Multi-Curve, Basis and OIS Discounting
Before 2008, one yield curve valued a swap. The crisis proved that wrong. Episode four rebuilds cross-currency swap valuation from the ground up: why projection and discounting became two different jobs, how the cross-currency basis enters the price as a first-order component, and the sign convention that costs people real money when they get it backwards. Plus the idea that surprises everyone — the collateral you post decides which curve you discount with. Host David Axtell works the book's own figures throughout. Companion season to Cross-Currency Swaps and Basis Trading, out 15 December.
The skinny
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