Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/40176
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dc.contributor.authorBoenkost, Wolframen_US
dc.contributor.authorSchmidt, Wolfgang M.en_US
dc.date.accessioned2010-09-09en_US
dc.date.accessioned2010-09-24T09:03:54Z-
dc.date.available2010-09-24T09:03:54Z-
dc.date.issued2004en_US
dc.identifier.urihttp://hdl.handle.net/10419/40176-
dc.description.abstractCross currency swaps are powerful instruments to transfer assets or liabilities from one currency into another. The market charges for this a liquidity premium, the cross currency basis spread, which should be taken into account by the valuation methodology. We describe and compare two valuation methods for cross currency swaps which are based upon using two different discounting curves. The first method is very popular in practice but inconsistent with single currency swap valuation methods. The second method is consistent for all swap valuations but leads to mark-to-market values for single currency off market swaps, which can be quite different to standard valuation results.en_US
dc.language.isoengen_US
dc.publisher|aHfB, Business School of Finance and Management |cFrankfurt, M.en_US
dc.relation.ispartofseries|aCPQF Working Paper Series |x2en_US
dc.subject.jelG13en_US
dc.subject.ddc330en_US
dc.subject.keywordinterest rate swapen_US
dc.subject.keywordcross currency swapen_US
dc.subject.keywordbasis spreaden_US
dc.subject.stwZinsswapen_US
dc.subject.stwWährungsswapen_US
dc.subject.stwBewertungen_US
dc.subject.stwTheorieen_US
dc.titleCross currency swap valuationen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn829773754en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:cpqfwp:2-

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