Basis

Single-currency swap where both legs are floating, indexed to different rate families.

In IRSForge the demo Basis is SOFR vs EFFR:

Leg	Index
Leg A	USD-SOFR (CompoundedInArrears)
Leg B	USD-EFFR (OvernightAverage)

Economics

scheduleDefaults:
  BASIS: { frequencyMonths: 3, dayCountConvention: Act360 }

floatingRateIndices:
  USD-SOFR: { family: SOFR, compounding: CompoundedInArrears, lookback: 2, floor: 0.0 }
  USD-EFFR: { family: SOFR, compounding: OvernightAverage,    lookback: 0, floor: null }

The two indices share the same currency (USD), so notional is single-currency. Spread between SOFR and EFFR is typically 1–10 bps.

On-chain template

Created via the FpML factory (Swap.FpmlProposal → FpmlAccept) — Basis and XCCY share this generic multi-stream path. The factory consumes the leg definitions and produces an Instrument with two float streams.

Oracle inputs

• USD discount curve.
• USD-SOFR projection curve.
• USD-EFFR projection curve (separately seeded under demo.stubCurves.USD.projections.USD-EFFR).

A live EFFR feed is Phase 9 — until then EFFR is a demo-stub curve with the front-end +5bp basis baked in.

Pricing

NPV = PV(SOFR leg, Receive) − PV(EFFR leg, Pay)

Per-leg direction is critical here — both legs are floating, so a sign flip silently halves or doubles the NPV.