Talk:Foreign exchange swap

Swap points

There needs to be some explanation of swap points, and how one can trade interest rate differentials. Finnancier 12:09, 23 August 2007 (UTC)

Done. Finnancier 10:54, 26 August 2007 (UTC)

I do agree swap points need to be explained as well as the relationship to the forward legs of a swap and the interest rate differential which creates the swap points.

I do not agree with the current definition as it now is.

An FX Swap / Currency Swap should be defined as:

Two Foreign Exchange transactions executed simultaneously Trade 1 spot FX trade and Trade 2 a forward FX trade.

Example:

BUY USD ag JPY value spot and SELL USD ag JPY forward.

This has nothing to do with fixed rate or floating rates or any type of interest rate derivatives. There seems to be some confusion over "FX Swaps" "Currency Swaps" and Interest rate derivatives such as and overnight index swaps (OIS). Jake2pt.lu 18:11, 31 August 2007 (UTC)

Agreed. I have removed the paragraph that reads: "The fixed rate in this transaction is the forward rate that is locked in by the forward contract. The floating rate will be the overnight rate that is realized on a daily basis by the spot transaction. Typically, the floating side of these trades are indexed to the Overnight Index Swap (OIS) rate. This rate is an average of the rates that are paid based on a survey." Are there other changes that need to be made? Finnancier 12:23, 12 September 2007 (UTC)

Description of the formulas declares r1 and r2 to be simple interest rates but then contradicts itself by using compounding in the formulas itself. There should be no compounding for FX swaps with maturity of 1 year or less (which is the vast majority of FX swaps) and instead of compounding the rates should be scaled multiplicatively by the appropriate tenor, i.e. typically days/360. —Preceding unsigned comment added by 212.90.204.130 (talk) 10:44, 27 February 2009 (UTC)

differences with currency swaps please

Can we expand on that please? Thanks. 169.71.50.11 (talk) 13:01, 26 March 2008 (UTC)

Assessment comment

The comment(s) below were originally left at Talk:Foreign exchange swap/Comments, and are posted here for posterity. Following several discussions in past years, these subpages are now deprecated. The comments may be irrelevant or outdated; if so, please feel free to remove this section.

An FX Swap / Currency Swap should be defined as: Two Foreign Exchange transactions executed simultaneously a spot FX trade and a forward FX trade. Example: BUY USD ag JPY value spot and SELL USD ag JPY forward. This has nothing to do with fixed rate or floating rates. There seems to be some confusion over "FX Swaps" "Currency Swaps" and Interest rate derivatives such as Cross Currency Swap. How can we change theses definitions as they are incorrect?

Last edited at 00:45, 1 January 2012 (UTC). Substituted at 15:22, 29 April 2016 (UTC)

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