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hcova
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Joined: July 14th, 2002, 3:00 am

Currency Swap Risk Profile

May 1st, 2017, 4:23 pm

Does anyone know a good implementation for assessing the risk profile for currency swaps (sometimes called potential future exposure or PFE). My goal is determinate the swap exposure profile considering the the future evolutuon of the implicit variables of this kind of swaps: the interest rates in the two currencies and the foreign exchange rate.  I have read the Ho,Stapleton, Subrahmanyam paper titled "The risk of a currency swap: A multivariate binomial methodology" but it is not clear in some calculations.
Any help is welcome: papers, spreadsheets if it is possible, links, and so on.
Regards
Hernan