Cross Currency Interest Rate Swap

Derivatives
Credit Valuation Adjustment
May 4, 2022
Derivatives
Bilateral Credit Value Adjustment
May 5, 2022

A swap whereby two counterparties agree to exchange interest payments based on two interest rates and denominated in two different currencies for a predetermined period of time. One leg of the swap is calculated using a fixed rate denominated in one currency while the other is computed based on a floating rate denominated in another. Also, a floating rate could be exchanged for another floating rate, each denominated in a different currency.

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