PRACTICAL ASPECTS OF FIXED FOR FIXED FX SWAP VALUATION
Abstract
This manuscript focuses on the process of realizing a not so widespread practice of international business activity in our region, but which could contribute to a mutual financial benefit for both parties. The purpose is to presented to the interested parties the technique of constructing, pricing and evaluating a foreign exchange swap. In details are showned the calculation of the swap rates and contractual payments at specified dates in time. The FX swap is evaluated by two methods - the bond approach and as series of forward contracts.References
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Another approach to build a yield curve, we need to combine current deposit rates, futures prices, treasury yields, and interest rate swap spreads together. Those factors make up today’s coupon yield curve. See Zheng Juntian, Analysis of the Discount Factors in Swap Valuation, Uppsala University, 2010 p. 23
https://www.citibank.co.kr/cgrp_pjt/jsp/en/fed/fed040020v.jsp
www.forextraders.com/forex-education/forex-strategy/the-basics-of-forex-swaps
https://zanders.eu/en/latest-insights/how-to-value-a-cross-currency-swap
