A cross currency swap is swap of an interest rate in one currency for an interest rate payment in another currency. For example, a cross currency swap could be an exchange of a fixed stream of cash flows in US Dollars for a floating rate stream of cash flows in Euros. This could be considered an interest rate swap with a currency component.
Currency Swaps are typically valued using a standard discounting procedure whereby each stream of cash flows is discounted using the yield curve of that currency and finally the NPV of each leg is then converted at the spot exchange rate.
Cross currency swaps can also exchange two fixed rate streams in different currencies, or alternatively two floating rate streams in different currencies.
Derivatives ONE features a free valuation tool for Cross Currency Swaps.
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