CoachA tenor basis swap exchanges two floating legs on indices of different tenors in the same currency, for example six-month Euribor against the overnight rate compounded, with a spread on one leg that makes it worth zero at inception. The tenor basis at a maturity is that par spread.
Ejemplos
Example 2.5 (A euro market)
Take illustrative €STR swap rates from 1.95% at one year to 2.55% at ten and 2.60% at thirty, and six-month Euribor swap rates 20 basis points higher at one year, 15 at ten and 12 at thirty, with a six-month fixing of 2.13%. The projection curve reprices all ten Euribor instruments; by Proposition 2.2 the tenor basis is 20, 15 and 12 basis points at one, ten and thirty years. The forward basis, fixing by fixing (Figure 2.1), is 21.6 basis points on the first six-month period and 11.8 on the period starting in ten years: a par basis is an average of forward bases.