CROSS-CURRENCY SWAPS AND BASIS TRADING: Multi-Curve Frameworks and Institutional Applications

Description

Book 3 of the Foreign Exchange Markets Professional Series by Luigi Pascal Rondanini and David Axtell. Cross-Currency Swaps and Basis Trading is a practitioner desk reference on the instruments that sit at the centre of international funding, hedging and relative-value markets: cross-currency swaps, the cross-currency basis, and the multi-curve frameworks used to value and risk-manage them on institutional desks.

The book develops how multi-curve construction works in practice – discounting, projection, tenor basis and collateralisation – and shows how those curves feed valuation, P&L explain and risk for cross-currency products. It treats the basis as a traded market, not only as a valuation residual: drivers of the spread, how desks express views, and how funding and CSA terms change the economics of a trade.

Coverage is aimed at people who price, hedge or oversee cross-currency exposures day to day: FX and rates traders and market makers; corporate and bank treasury; ALM and funding desks; market and counterparty risk; and quantitative staff supporting institutional books. Topics include curve building and calibration, notional exchange and interest legs, valuation under multi-curve and OIS discounting, basis trading and relative value, funding and liquidity effects, and institutional applications across treasury, markets and risk.

Written as a desk reference rather than a classroom textbook: structured explanations, worked context and institutional practice, in the same series voice as the volumes on FX cash products and FX options. First edition, December 2026.