Currency Swap


Currency Swap is a
direct subtype of IRS with functions Currency Swap Functions, keys Currency Swap keys and example object CcySwp that represents a cross currency swap whereby cash flows in one currency are exchanged for cash flows in another currency in regular time intervals until the swap's maturity.
The amounts of the cash flows denominated in the respective currency may be fixed or linked to some floating rate index according to the list
Int Rate Type
The notional that applies on each time interval may be time dependent, in which case the successive notional changes may be optionally part of the swap cash flows.
An optional initial and final notional exchange may be specified.
If an initial notional exchange occurs on the trade date (i.e. valuation date), it is always taken into account when the NPV is calculated with the function
Price, even when the optional input Trade Date CFs to the latter is set to false
It is also possible to let the notional being reset on each time interval based on an observed fx rate, provided the affected cash flows are linked to an interest rate index.
A notional time dependency is not allowed in the case of fx reset or inflation linked flows.