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Topic 4: Currency Swap (Definition (I repay fixed rate and you repay…
Topic 4: Currency Swap
Definition
I repay fixed rate and you repay fixed rate;
spot foreign exchange rate = AUD1.80/GBP
The tenor of the swap is 2 years.
Interest is paid every half a year.
The market yield of an equivalent 2-year AUD bond is 5% p.a.
The market yield of an equivalent 2-year GBP bond is 6% p.a.
I repay fixed rate and you repay floating rate;
spot foreign exchange rate = AUD1.80/GBP
The tenor of the swap is 2 years.
Interest is paid every half a year.
The market yield of an equivalent 2-year AUD bond is 5% p.a.
The market yield of an equivalent 2-year GBP bond is 6% p.a.
The current 6-month AUD-LIBOR is 4.2% p.a.
The current 6-month GBP-LIBOR is 5.4% p.a.
I repay floating rate and you repay floating rate.
spot foreign exchange rate = AUD1.80/GBP
The tenor of the swap is 2 years.
Interest is paid every half a year.
The current 6-month AUD-LIBOR is 4.2% p.a.
The current 6-month GBP-LIBOR is 5.4% p.a.