Basis swap

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A basis swap is an interest rate swap which involves the exchange of two floating rate financial instruments denominated in the same currency. A floating-floating interest rate swap under which the floating rate payments is referenced to different bases.

[edit] See also

There is also a cross-currency basis swap where two reference indices are coming from different currency markets. For example, one can buy a 10 year basis swap that exchanges 3-month Libor for 3-month Euribor plus the spread.


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Options
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Swaps
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