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.
Key words: interest rate swap, cross currency swap, basis spreadZurück zu "Publications"