currency-swap-valuation
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Valuing a currency swap as FRA
Hello! Hope everyone is safe! The attached is from Hull Ch. 7, Q 7.5. Can anyone please let me know how to convert to continuously compounded interest rates as has been done in the highlighted part?- Dimitriy
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- currency-swap-valuation
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- Forum: P1.T3. Financial Markets & Products (30%)
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P1.T3.723. Swaps: valuation with OIS and LIBOR, comparative advantage, and currency swap valuation
Learning objectives: Explain the mechanics of a currency swap and compute its cash flows. Explain how a currency swap can be used to transform an asset or liability and calculate the resulting cash flows. Calculate the value of a currency swap based on two simultaneous bond positions. Calculate...- Nicole Seaman
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- cash-flow commodity comparative-advantage currency-swap currency-swap-valuation exotic-swaps libor ois volatility
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- Forum: FRM® Practice Questions