Microsoft PowerPoint - PoF.ppt

Currency swapƒ 258

Converting cash flows (investments or liabilities) from one currency in another currency. The coupon payments may be either

ƒ

fixed rate to floating rate,

ƒ

floating rate to fixed rate,

ƒ

fixed rate to fixed rate, OR

ƒ

floating rate to floating rate

at specified future times.

ƒ

Currency swaps can be valued as the difference between 2 bonds.
Derivative securities: Swaps - Currency swap