Derivatives
Quanto Swaplet
August 2, 2022
Exchanges
Sell Side
August 3, 2022

A currency swap whereby a rate observed in one currency is applied to a principal amount denominated in another currency. For example, a 3-month LIBOR observed in the United States is exchanged for a 3-month LIBOR in Britain, with both rates being applied to a principal of 20 million British pounds.

The quanto swap is also known as differential swap, diff swap, and rate differential swap.

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