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currency-swap

  1. Nicole Seaman

    YouTube T3-33: Fixed for fixed currency swap: mechanics and valuation

    David has three panels here. The first one is to illustrate the mechanics of a fixed for fixed currency swap. After illustrating the mechanics, he will show you how to price or value the currency swap as if it were two bonds. The third way is to illustrate how John Hull shows it in his latest...
  2. Nicole Seaman

    P1.T3.723. Swaps: valuation with OIS and LIBOR, comparative advantage, and currency swap valuation

    Learning objectives: Explain the mechanics of a currency swap and compute its cash flows. Explain how a currency swap can be used to transform an asset or liability and calculate the resulting cash flows. Calculate the value of a currency swap based on two simultaneous bond positions. Calculate...
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