Cross currency swap valuation

Research, Preprint English OPEN
Boenkost, Wolfram; Schmidt, Wolfgang M.;
  • Publisher: Frankfurt a. M.: HfB - Business School of Finance & Management, Centre for Practical Quantitative Finance (CPQF)
  • Subject: interest rate swap | interest rate swap,cross currency swap,basis spread | G13 | cross currency swap | basis spread | Währungsswap | Zinsswap | Bewertung | Theorie
    • ddc: ddc:330
      jel: jel:G13
    acm: ComputingMilieux_COMPUTERSANDSOCIETY | TheoryofComputation_GENERAL | ComputerApplications_COMPUTERSINOTHERSYSTEMS | ComputingMilieux_LEGALASPECTSOFCOMPUTING

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... View more
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