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The "Spot Basis" of a 2 Against 4 Months EUR/USD

Question 10

Multiple Choice

The "spot basis" of a 2 against 4 months EUR/USD forward/forward swap is:


A) usually the current spot EUR/USD mid-market rate
B) commonly the prevailing 4-month forward EUR/USD mid-rate
C) always the forward EUR/USD bid rate of the first swap leg
D) generally the prevailing 2-month forward EUR/USD mid-rate

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