Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: A heuristic pricing and hedging framework for multi-currency fixed
  income desks   It is well known that traded foreign exchange forwards and cross currency
swaps (CCS) cannot be priced applying overnight cash and carry arguments as
they imply absence of funding advantage of one currency to the other. This
paper proposes a heuristic present value concept for multi-currency pricing and
hedging which allows taking into account the funding and therefore the
collateral currency and its pricing impact. For uncollateralized operations, it
provides more funding optionality to achieve either cheaper or more connected
funding to the hedging instruments. When foreign exchange forwards get aligned
with overnight cash and carry arguments, this method naturally converges to the
well established OIS discounting where each leg is funded in its own currency.
A worked example compares this approach with a benchmark.

23
The categories of this paper are: solv-int
27
The categories of this paper are: comp-gas
15
The categories of this paper are: nucl-ex
36
The categories of this paper are: cmp-lg
2
The categories of this paper are: math
4
The categories of this paper are: cond-mat
21
The categories of this paper are: adap-org
6
The categories of this paper are: astro-ph
18
The categories of this paper are: econ
19
The categories of this paper are: eess
7
The categories of this paper are: hep-th
32
The categories of this paper are: atom-ph
26
The categories of this paper are: bayes-an
34
The categories of this paper are: chem-ph
29
The categories of this paper are: funct-an
28
The categories of this paper are: alg-geom