The Basis Swap Curve Window (which is accessed by clicking the Basis Swaps button in the pricing page) displays the cross currency basis spread market data, which defines the spread between the floating rate of each currency.
You can customize the tenors (including the short tenors—1M, 3M, 6M and 9M) which are used in the basis swap curve, thereby affecting the cross currency basis spread market data that is used to price the cross currency swap, the cross currency real rate swap and the cross currency inflation swap.
You do this per currency via the Settings window (see Customizing SDX Interest Rates) > XCCY Basis Swap Curve tab.
It is important to note that:
The tenors are only changed for the currency defined in the Currency dropdown list.
You must save the change to your MyProfile profile or to a group profile.
As there are two currencies involved in each basis swap curve, the tenors displayed are controlled by the settings for the currency which is the flat currency.
To customize the cross currency basis swap curve for a specific currency:
| 1. | Access the Settings window (see Accessing the Settings Window). |
| 2. | From the View Profile Settings dropdown list select the profile you want to see the settings for. |
| 3. | In the Settings window click the XCCY Basis Swap Curve tab. |
| 4. | Select the relevant currency. |
| 5. | Make any changes to the included tenors. |
| 6. | If you are in: |
The SD profile you can save these changes to your MyProfile profile (by clicking the Save as MyProfile button and then clicking Yes) or to a public profile (by clicking the Save as Profile button, entering a profile name and user group, and then clicking Save and then OK).
A public profile you can save these changes to your MyProfile profile (by clicking the Save as MyProfile button) or to the current public profile (by clicking the Save as Profile button and then Save and then OK).
Your MyProfile profile you can only save these changes to your MyProfile by clicking the Save as MyProfile button and then clicking Yes.
The changes are saved.
| 7. | When you close the window, if you opened the Customize page directly from the Basis Swap Curve the system asks if you want to immediately apply the changes you have made. If you want your changes applied to the current window click Yes. The changes are applied. |