Cross-Currency Swaps

A CrossCurrencySwap (XCS) exchanges floating rate payments in two currencies with notional exchanges at inception and maturity. It uses a 4-curve pricing model -- discount and forecast curves for each leg -- plus spot FX rates for notional conversion.

Cross-Currency Swap

A CrossCurrencySwap (XCS) exchanges floating rate payments in two currencies with notional exchanges. It uses a 4-curve pricing model: discount and forecast curves for each leg, plus spot FX rates.

xcs = XCS(
    effective=effective,
    termination="5y",
    leg1_currency="eur",
    leg2_currency="usd",
    leg1_notional=1_000_000.0,
    leg2_notional=1_080_000.0,
    initial_fx_rate=1.08,
    frequency="a",
    convention="act360",
)

float(xcs.npv(eur_curve, eur_curve, usd_curve, usd_curve, fxr))   # 66059.25314189272
float(xcs.rate(eur_curve, eur_curve, usd_curve, usd_curve, fxr))  # -145.8313845574968

Next Steps

• FX Rates & Forwards -- FX rate triangulation and forward construction
• Non-Deliverable Instruments -- NDF and non-deliverable swap pricing for restricted currencies