Currency Swap


Currency Swap is a direct subtype of IRS
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with functions Currency Swap Functions, keys Currency Swap keys and example object CcySwp

TYPE INCLUSION RELATIONSHIPS

IRS

Currency Swap

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Ccy Leg Dir

Src Amort

Src Cap

Src Ccy

Src FX Reset

Src Floor

Src Gearing

Src In Arrears

Src Index

Src Lag on Principal

Src Notional

Src Pmt Lag

Src Rate

Src Schedule

Src Spread

Tgt Amort

Tgt Cap

Tgt Ccy

Tgt FX Reset

Tgt Floor

Tgt Gearing

Tgt In Arrears

Tgt Index

Tgt Lag on Principal

Tgt Notional

Tgt Pmt Lag

Tgt Rate

Tgt Schedule

Tgt Spread

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TYPICAL OBJECTS OF TYPE Currency Swap

CcySwp

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This type 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.