Description Usage Details Value Author(s) References See Also
Function to calculate the value of a fixed-fixed currency swap.
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The user inputs are as follows:
Notional(Home): to be entered in numbers for e.g. 1000000
Payment rate (Home): entered in decimalsfor e.g. 0.05 for 5 per cent
Interest rate (Home): entered in decimalsfor e.g. 0.05 for 5 per cent
Notional(Foreign): to be entered in numbers for e.g. 1200000
Payment rate (Foreign): entered in decimals for e.g. 0.05 for 5 per cent
Interest rate (Foreign): entered in decimals for e.g. 0.05 for 5 per cent
Months for first payment: enter 3 for 3 months
Spot exchange rate: units of home currency per unit of foreign currency. e.g. 1.5 dollars per pound is entered as 1.5
Frequency of spot rates: chosen amongst continuous/quarterly/semi-annual/annual
Number of periods: corresponds to settlement frequency. for e.g. if settlement frequency is chosen as semi-annual, a value of 3 (Number of periods) means three semi-annums.
Settlement frequency: chosen amongst quarterly/semi-annual/annual
The Value of a fixed-fixed currency swap.
S Subramanian <ssubramanian@sssihl.edu.in>
John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.
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