Example 259An agreement by “Company B” to pay 11% on a FV of £10,000,000 and receive 8% on a FV of $15,000,000 every year for 5 years.
In an interest rate swap the principal is not exchanged. However, in a currency swap the principal is exchanged at the beginning and the end of the swap.
Cash Flows to company B
Derivative securities: Swaps - Currency swap