Implied cross currency curve

Asked Jun 29 '21 at 16:06

Active Jun 29 '21 at 16:06

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For EM countries without a liquid xccy curve, how I can imply it from local government bonds or swaps?

asked Jun 29 '21 at 16:06

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There's always some liquid Xccy curve, even for EM: I have never come across an example of a currency with a non-existent xccy curve. Anyway, for tenors up to two years, if the xccy curve doesn't trade outright, it can be implied from FX swaps; see the formula in this post here: https://quant.stackexchange.com/questions/61482/aud-funding-rates/61483?r=SearchResults#61483 – Jan Stuller Jun 29 '21 at 16:22
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Does this answer your question? Question on Xccy swaps curve observability – Dimitri Vulis Jun 29 '21 at 17:00
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Also related https://quant.stackexchange.com/questions/55203 – Dimitri Vulis Jun 29 '21 at 21:50

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