The Excel Derivatives Periscope



Currency Swap is a child type of Multi Leg Swap 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 an index, which can be an ibor rate, a cms rate or an inflation index of the cpi type.
More specifically, each of the two legs can be one of the types listed in
Currency Swap::Leg Type
The above list describes also the exact cash flow structure of each possible leg.
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.
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.

This product's pricing is carried out by the ORE library and it has been observed that the input spot fx rate is always treated as if it were spot settled regardless of the associated number of settlement days and conventions.