FX Swap Definition and Valuation Guide



A foreign exchange swap or currency swap is a contract under which two parties agree to exchange two currencies at a set rate and then to re-exchange those …

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FX Swap Definition and Valuation Guide

A foreign exchange swap or currency swap is a contract under which two parties agree to exchange two currencies at a set rate and then to re-exchange those currencies at an agreed upon rate at a fixed date in the future. Therefore, an FX swap consists of two transactions: a spot transaction and a forward transaction. This presentation gives an overview of FX swaps and valuation model. You can find more information at http://www.finpricing.com/lib/FxSwap.html