Reply To: Separate FX Conversion and Discounting

Israr Ahmed

Thanks Tom. The reluctance here to go down the route of deriving “synthetic discounting curves” is that this will then also impact “true discounting”. Say we have a Deal in EUR and its being reporting in both EUR and also in base currency $ .

If we synthesise the EURIBOR.EUR from the Forward FX rates , then whilst the $ PnL will now indeed be giving me same value if I was Converting using Forward FX and then using LIBOR.USD ( as the LIBOR.USD will not be synthetic ) , this does then mean that the EUR discounted value is now using a “synthetic discounting curves”.

Maybe I’ve missed something in your “mapping” comment above…

Download PDF version

This field is for validation purposes and should be left unchanged.