Sensitivity of an FX Swap

tibogl · October 8th, 2007, 2:32 am

Hi I would like to understand better the sensitivy of an FX swap.When we do for example a 1Y GBP agst usd FX swap.it gives us some Sensitivity to both usd and gbp curves I guess on all the pillars until 1Y right?Which curves are those 2 ones?are they the forward curves, the libor curves? the basis curves?I m not sure to understand, I would have said the Forward one, but I m not sure anymore.Could somebody tell me more about the way to manage the sensitivity of an FX swap pls?Thx vm for your helpTG

dexi · October 28th, 2007, 8:31 pm

HiThe simultaneous purchase and sale of the same amount of a given currency for two different dates, against the sale and purchase of another. A swap can be a swap against a forward. In essence, swapping is somewhat similar to borrowing one currency and lending another for the same period. However, any rate of return or cost of funds is expressed in the price differential between the two sides of the transaction.