Cross Currency Basis Swap Quotation

[rkapl123]

Dear All!

After finding out that the quotes we’re using for Cross Currency Basis Swaps (ICAP) are actually based on 2 basis swaps (probably EUR/USD & USD/Currency) and the quote is the spread over the EUR/USD basis, I’m a bit confused whether the current configuration, e.g.

<CrossCurrencyBasis>
<Id>EUR-CHF-XCCY-BASIS-CONVENTIONS</Id>
<SettlementDays>2</SettlementDays>
<SettlementCalendar>ZUB,TARGET,UK</SettlementCalendar>
<RollConvention>MF</RollConvention>
<FlatIndex>EUR-EURIBOR-3M</FlatIndex>
<SpreadIndex>CHF-LIBOR-3M</SpreadIndex>
</CrossCurrencyBasis>

is actually correct as the quote according to ICAP is actually a spread over the EUR/USD spread.
Unfortunately I’m not a market practitioner to estimate whether the intermediate Ccy Basis Swaps are relevant for the curve construction.

-regards,
Roland

[rkapl123]

I see that over 4 years ago Niall and I touched that question already, however from a valuation point of view: https://www.opensourcerisk.org/forums/topic/cross-currency-swap-valuation/#post-6150

Still the question on how to configure such a currency basis swap quote is open for me.

-regards,
Roland

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