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

Nicole Seaman

Director of FRM Operations
Staff member
Subscriber
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 book, which is valuing the currency swap as if it were a series of forward rate agreements.

 

Ziziqbal

New Member
Hi, Thank you for posting this video.
Can you please give a little background on the transaction? As in, on what transactions typically I am paying the principal at the end of the term (assuming cash outflow happened first)? Or did the cash inflow in Yen happened first? Then in that case, it makes sense. Thank you
 
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