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1472 1
2014-06-17
Any one know that for the curve which accomendate the currency basis risk what might go wrong in the bump risk analysis and configruation changes? Thanks.

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2014-6-20 15:47:07
Your question is too general

For the cross ccy basis curve sensitivity calculation, lots of thing could go "wrong"

I think first of all you should let us know the currency pair and sensitivity on what product you are trying to calculate.

and most importantly you should let us know how exactly you built you xccy curve!!!
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