1365: Chinese swaps – question about Example 56 – CN REPO FIX Swap
Hi, I have a question about Example 56 – CN REPO FIX Swap On this swap, one leg is denominated in CNY and this leg resets weekly on Floating Rate CNY-CNREPOFIX=CFXS-Reuters with details as described in the example, and also below. Problem statement: according to our research, CNY leg on those swaps resets weekly, fixes … Continued