USD-Collateralized MTM GBP/USD Cross-Currency Basis Swap
USD-Collateralized MTM GBP/USD Cross-Currency Basis Swap: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). The trade is already inside its first coupon period. Current coupons must come from historical fixings, later coupons must come from projection curves, and…
The task
The trade is already inside its first coupon period. Current coupons must come from historical fixings, later coupons must come from projection curves, and future GBP notionals must reset from collateralized FX forwards. The holder receives GBP and pays USD, so signed PV, cashflow, accrued, and PnL fields should use…
Part of codeslord/skilltrainbench-public.