Fx swap valuation formula

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Valuation of an FX Swap - Quantitative Finance Stack Exchange

As far as I understand, a typical example of an FX swap would be the following: company A agrees to lend , Assume the swap has a maturity of 1 year. Modified 2 years, 7 months ago. Sign up or log in Sign up using Google. Featured on Meta. What is the value of an FX swap? Sign up to join this community.

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Linked 1. Not the answer you're looking for? Asked 5 years, 4 months ago. In one year, B pays back , On the other hand, A has to pay back , Now on euro side, A receives from B , On usd side, we convert the usd payment from A to B which is equal , Hence, the value of the FX swap is , Although FX Swaps are priced via an interest rate parity argument the settlement isn't actually determined by interest rates.

Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. Improve this answer. Add a comment. An FX Swap is quoted and specified by something called forward points. The best answers are voted up and rise to the top. Highest score default Date modified newest first Date created oldest first. Sorted by: Reset to default. Post as a guest Name.

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