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portada Cross-Currency Basis
Type
Physical Book
Publisher
Author
Language
English
Pages
312
Format
Paperback
ISBN13
9798896655107

Cross-Currency Basis

Alastair P. Brennan (Author) · NobleTrex Press · Paperback

Cross-Currency Basis - Alastair P. Brennan

New Book Imported to Austria
Delivery: 10 Nov - 12 Nov Shipping: 6 to 7 business days.
42,58 €
Import costs and 10% VAT included in the price ✅
42,58 €

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Synopsis "Cross-Currency Basis"

In modern fixed-income and FX markets, cross-currency basis is no longer a technical footnote-it is a central driver of hedging cost, funding choice, and relative value. This book is written for FX derivatives desks, corporate treasuries, and multi-currency portfolio managers who need a clear, practical framework for understanding how currencies, curves, collateral, and funding interact when covered interest parity no longer holds cleanly in the market.The book guides readers from the core building blocks of discounting, curve construction, and FX forward pricing into the mechanics and valuation of cross-currency swaps, including MTM and non-MTM structures. It then shows how to measure CIP deviations consistently, bootstrap basis curves, and interpret basis as an implied funding spread shaped by collateral terms, balance-sheet constraints, liquidity conditions, issuance flows, and stress regimes. Readers will learn how to price XCCY instruments, decompose all-in funding costs, manage risk and PnL, and compare direct versus synthetic funding choices on a disciplined basis.What distinguishes this guide is its practitioner-first design. Rather than treating basis as an abstract anomaly, it presents it as a tradable, governable, and institutionally constrained market phenomenon. The result is a self-contained roadmap for building hedging programs, evaluating FX-hedged bond opportunities, and designing basis-sensitive funding and relative-value strategies with the precision required in real trading and treasury environments.

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The book is written in English.

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The binding of this edition is Paperback.

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