hi .. I was having a look at the currency swap pricer on Bloomberg and saw that the discount curve for the floating leg was a basis curve rather than a libor for that currency .. In this case usd ws fixed nd eur floating leg .. While usd used libor eur leg ws discounted using usdeur basis curve...
This site uses cookies to help personalise content, tailor your experience and to keep you logged in if you register.
By continuing to use this site, you are consenting to our use of cookies.