Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/40176 
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dc.contributor.authorBoenkost, Wolframen
dc.contributor.authorSchmidt, Wolfgang M.en
dc.date.accessioned2010-09-09-
dc.date.accessioned2010-09-24T09:03:54Z-
dc.date.available2010-09-24T09:03:54Z-
dc.date.issued2004-
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
dc.language.isoengen
dc.publisher|aHfB - Business School of Finance & Management, Centre for Practical Quantitative Finance (CPQF) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCPQF Working Paper Series |x2en
dc.subject.jelG13en
dc.subject.ddc330en
dc.subject.keywordinterest rate swapen
dc.subject.keywordcross currency swapen
dc.subject.keywordbasis spreaden
dc.subject.stwZinsswapen
dc.subject.stwWährungsswapen
dc.subject.stwBewertungen
dc.subject.stwTheorieen
dc.titleCross currency swap valuation-
dc.typeWorking Paperen
dc.identifier.ppn829773754en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cpqfwp:2en

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