FX Forward Invariance & Discounting with CSA Collateral

3 Pages Posted: 31 Jul 2017

See all articles by Nicholas Burgess

Nicholas Burgess

University of Oxford, Said Business School

Date Written: July 1, 2017

Abstract

In what follows we outline briefly the Credit Support Annex and how it impacts securities pricing. We then proceed to discuss synthetic forward rate calculation and the FX forward invariance relationship from which we show how to calculate CSA collateral adjusted discount factors using GBP curves with a EUR CSA collateral as an illustration.

Keywords: FX Forward Invariance, CSA, Standard CSA, Native CSA, Non-Standard CSA, Yield Curve, Collateralization, Discount Factors

JEL Classification: A20, A23, C02, C60, C65, G12, G15, G21

Suggested Citation

Burgess, Nicholas, FX Forward Invariance & Discounting with CSA Collateral (July 1, 2017). Available at SSRN: https://ssrn.com/abstract=3009281 or http://dx.doi.org/10.2139/ssrn.3009281

Nicholas Burgess (Contact Author)

University of Oxford, Said Business School ( email )

Oxford, OX1 5NY
United Kingdom

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