Xccy Basis Swaps - Recommendations
Any recommended books/papers/primers on Xccy basis swaps?
I’ll be joking a desk that trades G10 cross-currency basis swaps and so I want to get a head start.
I think there’s a BNP primer out there.
Another book I recommend (which I first saw on a trading floor at a bank) is “Random Walks in Fixed Income and Foreign Exchange”. The first couple of chapters cover xccy basis swaps, why they exist, etc. It covers some decently niche material with CVA too iirc. The second half of the book is more yield curve focused.
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