As simple as possible;
but no simpler
As simple as possible;
but no simpler
A very interesting article in last month’s Risk, on the pre and post crisis OIS gold rush – Goldman and the OIS gold rush.
If several trading desks were up to 4/5 years behind Goldman in OIS/Libor and XCcy bases pricing, I wonder how far behind their market risk departments are.
Would all trades with cross currency CSAs report XCcy basis? Makes one wonder …