[宽客人生] curve's bump risk and configruation change [推广有奖]

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Ihatebar 发表于 2014-6-17 08:52:00 |AI写论文

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Any one know that for the curve which accomendate the currency basis risk what might go wrong in the bump risk analysis and configruation changes? Thanks.

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关键词：change ATION curve CHAN Hang curve currency change wrong

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stoneyl 发表于2楼查看完整内容

Your question is too general For the cross ccy basis curve sensitivity calculation, lots of thing could go "wrong" I think first of all you should let us know the currency pair and sensitivity on what product you are trying to calculate. and most importantly you should let us know how exactly you built you xccy curve!!!

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stoneyl 发表于 2014-6-20 15:47:07

Your question is too general

For the cross ccy basis curve sensitivity calculation, lots of thing could go "wrong"

I think first of all you should let us know the currency pair and sensitivity on what product you are trying to calculate.

and most importantly you should let us know how exactly you built you xccy curve!!!