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How to represent cross rate components
Rob McConnell / Eurobase
18 Jun 2008 7:28AM ET

I have a requirement where it is necessary to include cross components with a cross trade. For example a forward/forward swap that is a cross has
six cross components (two spot and 4 forward) in addition to the spot and two forward components for the traded cross.

So far I've stuggled to see how to represent this without customisation.

Has anyone any ideas?

Thanks in advance

Rob

How to represent cross rate components
Rob McConnell / Eurobase   18 Jun 2008 7:28AM ET

Re: How to represent cross rate components
Jay Hurley / Morgan Stanley   18 Jun 2008 11:21PM ET

Re: How to represent cross rate components
Rob McConnell / Eurobase   20 Jun 2008 4:29AM ET