Arbeitspapier
Cross currency swap valuation
Cross currency swaps are powerful instruments to transfer assets or liabilities from one currency into another. The market charges for this a liquidity premium, the cross currency basis spread, which should be taken into account by the valuation methodology. We describe and compare two valuation methods for cross currency swaps which are based upon using two different discounting curves. The first method is very popular in practice but inconsistent with single currency swap valuation methods. The second method is consistent for all swap valuations but leads to mark-to-market values for single currency off market swaps, which can be quite different to standard valuation results.
- Language
-
Englisch
- Bibliographic citation
-
Series: CPQF Working Paper Series ; No. 2
- Classification
-
Wirtschaft
Contingent Pricing; Futures Pricing; option pricing
- Subject
-
interest rate swap
cross currency swap
basis spread
Zinsswap
Währungsswap
Bewertung
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Boenkost, Wolfram
Schmidt, Wolfgang M.
- Event
-
Veröffentlichung
- (who)
-
HfB - Business School of Finance & Management, Centre for Practical Quantitative Finance (CPQF)
- (where)
-
Frankfurt a. M.
- (when)
-
2004
- Handle
- Last update
- 10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Boenkost, Wolfram
- Schmidt, Wolfgang M.
- HfB - Business School of Finance & Management, Centre for Practical Quantitative Finance (CPQF)
Time of origin
- 2004
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The Valuation of Interest Rate Swap with Bilateral Counterparty Risk
The Valuation of Credit Default Swap with Counterparty Risk and Collateralization
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Equilibrium Valuation of Currency Options in a Small Open Economy
Cross hedging in currency forward markets
Bilateral swap agreement and Renminbi settlement in cross-border trade
Cross-country insurance mechanisms in currency unions
Evaluating Asian swap arrangements
Credit default swap auctions
Cross currency swap valuation
China's Bilateral Currency Swap Lines
Interest rate swap credit valuation adjustment
The Valuation of Interest Rate Swap with Bilateral Counterparty Risk
The Valuation of Credit Default Swap with Counterparty Risk and Collateralization
The international lender of last resort for emerging countries: A bilateral currency swap?
Equilibrium Valuation of Currency Options in a Small Open Economy
Cross hedging in currency forward markets
Bilateral swap agreement and Renminbi settlement in cross-border trade
Cross-country insurance mechanisms in currency unions
Evaluating Asian swap arrangements