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The financial industry has undergone a significant transition from the London Interbank Offered Rates (LIBORs) to Risk Free Rates (RFRs) such as, e.g., the Secured Overnight Financing Rate (SOFR) in the U.S. and the Cash Rate (AONIA) in Australia, as primary benchmark rates for borrowing costs. The paper examines the pricing and hedging method for financial products in a cross-currency framework with the special emph…
The cross-currency basis, which is the basis spread added mainly to the U.S. dollar London Interbank Offered Rate (USD LIBOR) when the USD is funded via foreign exchange (FX) swaps using the Japanese yen or the euro as a funding currency, has been widening globally since the beginning of 2014. This development is driven by (1) increased demands for U.S. dollars resulting from a divergence in the monetary policy betwe…
Over the last decade, the foreign exchange derivatives market has witnessed a collapse of covered interest parity (CIP). Not only does this collapse give rise to large deviations from CIP, it has unlocked a stream of exploitable arbitrage opportunities across currencies. In this paper, we introduce two new factors – inflation differential and relative economic performance – as potential drivers of deviations from CIP…
We provide a general HJM framework for forward contracts written on abstract market indices with arbitrary fixing and payment adjustments, and featuring collateralization in any currency denominations. In view of this, we first provide a thorough study of cross-currency markets in the presence of collateral and incompleteness. Then we give a general treatment of collateral dislocations by describing the instantaneous…
Collateralization with daily margining has become a new standard in the post-crisis market. Although there appeared vast literature on a so-called multi-curve framework, a complete picture of a multi-currency setup with cross-currency basis can be rarely found since our initial attempts. This work gives its extension regarding a general framework of interest rates in a fully collateralized market. It gives a new form…
Covered interest parity verges on a physical law in international finance. And yet it has been systematically violated since the Great Financial Crisis. Especially puzzling have been the violations since 2014, even once banks had strengthened their balance sheets and regained easy access to funding. We offer a framework to think about these violations, stressing the combination of hedging demand and tighter limits to…
This paper introduces a novel stochastic model for credit spreads. The stochastic approach leverages the diffusion of default intensities via a CIR++ model and is formulated within a risk-neutral probability space. Our research primarily addresses two gaps in the literature. The first is the lack of credit spread models founded on a stochastic basis that enables continuous modeling, as many existing models rely on fa…
This paper develops a three-currency Heath-Jarrow-Morton framework in which corporate credit is treated as a separate economy, connected to the nominal and real economies through synthetic inflation and credit exchange rates. The framework produces a testable identity. Under joint no-arbitrage, the credit spread of an issuer expressed over the inflation-rateindexed risk-free curve equals the same issuer's credit spre…
In the LIBOR era, banks routinely tied revolving credit facilities to credit-sensitive benchmarks. This study assesses the Across-the-Curve Credit Spread Index (AXI) -- a transparent, transaction-based measure of wholesale bank funding costs -- as a complement to SOFR, summarizing its behavior, construction, and loan-pricing implications. AXI aggregates observable unsecured funding transactions across short- and long…
Applying historical data from the USD LIBOR transition period, we estimate a joint model for SOFR, Fed Funds, and Eurodollar futures rates as well as spot USD LIBOR and term repo rates. The framework endogenously models basis spreads between each of the benchmark rates and allows for the decomposition of spreads. Modelling the LIBOR-OIS spread as credit and funding-liquidity roll-over risk, we find that the spike in …
We provide a large-scale empirical audit of DEX routing using 2.98 million WETH-USDC swaps on Ethereum. Comparing realized routes with optimized benchmarks, we measure an average shortfall of 2.02 bps per trade or \$24 million. To attribute losses, we introduce three reproducible optimal benchmarks: a Support-Constrained Optimum (SCO) that evaluates split quality conditional on the pools actually used; a Full-Venue O…
We present a large-scale experimental study of quantum-computing-based molecular simulation carried out on IQM's Sirius 24-qubit superconducting processor, utilizing up to 16 operational qubits. The work employs Sample-based Quantum Diagonalization (SQD) together with the Local Unitary Cluster Jastrow (LUCJ) ansatz to estimate ground-state energies for a set of benchmark molecules, including H$_2$, LiH, BeH$_2$, H$_2…
USD/JPY cross-currency basis measures the extra cost of obtaining dollars through FX swap markets and is a key indicator of offshore dollar funding stress.
Funding stress signal derived from FX swap pricing distortions and balance sheet constraints.
Agency MBS Basis — Spread between MBS and hedging Treasury futures, a core RV monitor.
CDS Basis Trade — Arbitrage between cash bonds and CDS contracts revealing funding and counterparty frictions.
Capital Controls — Official restrictions on cross-border flows that reprice FX basis and investability.
FX Swap Implied Rate (FX).
Basis Swap (Rates).
Treasury Futures Basis — Cash-futures basis driven by cheapest-to-deliver dynamics.
CDS Bond Basis (Rates).
Basis Trade Crypto (Crypto).
Crypto Basis Trade (Crypto).
Henry Hub Basis (Commodities).
SOFR Transition Basis — Spread and convexity differences from LIBOR to SOFR products.
Tenor Basis Swap (Rates).
Cross Currency Basis Swap (Rates).
Bond Future Basis 1M (Rates).
Bond Future Basis 3M (Rates).
Bond Future Basis 6M (Rates).
Bond Future Basis 1Y (Rates).
Bond Future Basis 2Y (Rates).
Bond Future Basis 5Y (Rates).
Bond Future Basis 7Y (Rates).
Bond Future Basis 10Y (Rates).
Bond Future Basis 20Y (Rates).
Bond Future Basis 30Y (Rates).
Bond Future Basis front (Rates).
Bond Future Basis belly (Rates).
Bond Future Basis long-end (Rates).
Bond Future Basis ultra-long (Rates).
Bond Future Basis Fed (Rates).
Bond Future Basis ECB (Rates).
Bond Future Basis BoE (Rates).
Bond Future Basis BoJ (Rates).
Bond Future Basis PBoC (Rates).
Bond Future Basis RBA (Rates).
Bond Future Basis BoC (Rates).
Agency MBS Basis — Spread between MBS and hedging Treasury futures, a core RV monitor.
Basis Cash Carry BNB (Crypto).
Basis Cash Carry BTC (Crypto).
Basis Cash Carry CEX (Crypto).
Basis Cash Carry DeFi (Crypto).
Basis Cash Carry DEX (Crypto).
Basis Cash Carry ETH (Crypto).
Basis Cash Carry options (Crypto).
Basis Cash Carry perp (Crypto).
Basis Cash Carry SOL (Crypto).
Basis Cash Carry spot (Crypto).
Basis Cash Carry XRP (Crypto).
Basis Swap (Rates).
Basis Trade Crypto (Crypto).
Bond Future Basis 10Y (Rates).
Bond Future Basis 1M (Rates).
Bond Future Basis 1Y (Rates).
Bond Future Basis 20Y (Rates).
Bond Future Basis 2Y (Rates).
Bond Future Basis 30Y (Rates).
Bond Future Basis 3M (Rates).
Bond Future Basis 5Y (Rates).
Bond Future Basis 6M (Rates).
Bond Future Basis 7Y (Rates).