Skip to main content

eur_usd_estr_sofr_basis_nr

Function eur_usd_estr_sofr_basis_nr 

pub fn eur_usd_estr_sofr_basis_nr() -> XccySwapTemplate
Expand description

EUR ESTR / USD SOFR OIS-OIS basis swap without notional resets: principal is exchanged at start and end at the struck FX, with no FX index. Otherwise the conventions of eur_usd_estr_sofr_basis_q.