Valuing Currency Swaps

Currency swaps are only slightly more difficult to value than plain vanilla interest rate swaps; once again, as with all derivatives, the formula for the value is: \[Value\ =\ PV\left(what\ you\ will\ receive\right)\ –\ PV\left(what\ you\ will\ pay\right)\] Because the swap is equivalent to two bonds (one long, one short, one in one currency, one […]