ACI 3I0-012 Question Answer
The “spot basis” of a 2 against 4 months EUR/USD forward/forward swap is:
usually the current spot EUR/USD mid-market rate
commonly the prevailing 4-month forward EUR/USD mid-rate
always the forward EUR/USD bid rate of the first swap leg
generally the prevailing 2-month forward EUR/USD mid-rate
TESTED 15 Jul 2025
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