Fx swap

CFA Level II
#1

Hi,

I wonder you help me with valuation of Fx swaps

If there is initiation of Fx swap on 28.april 2015, maturity on 18.may 2015 and the initial cash flow change occurred on 4.may2015, from which date should the valuation take place? I guess I should valuate from 28.April, correct?

Should not the cash flow change at beginning be in the same as the initiation of Fx swap?

Thanks

#2

there are several types of swap. a near/far swap involves cashflows on initiation date. a fixed/floating swap usually has no inital payment, so the first payment is an interest differential.

the value at initiation is therefore zero, you can value the swap any time during the lifetime based on discounting the cashflows.

generally the whole topic just involves discounting, but you need to understand the terminology.