Cross-Currency Yield Curves

Ready-to-use yield curves for cross-currency swaps offers straight forward and working solution, if the Treasury Management System does not natively support curve building.

Our solution has been in production with multiple clients several years now.

The framework includes discount curves for the following currencies:

• CAD, DKK, EUR, GBP, NOK, SEK and USD
  
   
  
  

Each discount curve is based on several rate sets, which makes curve building complex process and so it is rarely supported by any Treasury System., e.g.

• 3M Swap curve from home- and foreign- currencies
  
  

• OIS curve from home currency
  
  

• Foreign Exchange Spread information
  
  

  1. 1. 1. The spread curve for long term tenors
           
           

        2. Extracted spread information from foreign exchange forwards for short term tenors.
           
           

To create floating leg future cash flows, see our Raw Data and Advanced Rate portfolios.