Reply To: Separate FX Conversion and Discounting

#8846
Israr Ahmed
Keymaster

For completeness – update :

The LIBOR approach is apparently no longer used by banks.

There’s a long thread to this.
• Step1 : Use OIS instead of Libor to get your benchmark CCY rates
• Step2 : Use Forward FX rates to derive other CCY Discount Curves
• Or Step3 : Use Cross Currency Basis Swaps to derive other CCY Discount Curves ( “The main object is to find the appropriated discounting curve for the cash flows in one currency C1 but collateralized in another currency C2.”)

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