Reply To: Currency Options

#8797
Israr Ahmed
Keymaster

Its also worth looking through these two Forums :

https://kwa-analytics.com/forums/topic/separate-fx-conversion-and-discounting/

https://kwa-analytics.com/forums/topic/why-do-fx-holding-instruments-have-forward-rate-fx-curves-attached/#post-8796

[Just generally its a hot topic about how disconnected the Forward FX rates are from Spot and Libors in the market and whether the Spot and Libor approach is valid anymore. Alternatives are to use Fwd FX rates directly .. or now instead even look to use currency basis swap rates. These approaches involve using observable forward rates to create synthetic discount curves in the non base reporting currencies ]

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