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Position type in currency swaps
Posted: March 27th, 2011, 10:20 am
by kindlyMe
In a vanilla interest rate swaps contract, the party paying fixed interest is assumed to have long position in that swaps. However what about vanilla currency swaps? How I can determine what is my position type, long or short? Is there any acceptable view on that?Thanks,
Position type in currency swaps
Posted: March 28th, 2011, 4:32 pm
by frattyquant
Actually long and short is not usually defined for swaps. You say Payer (pay fixed) and reciever(recieve fixed)
Position type in currency swaps
Posted: March 28th, 2011, 4:39 pm
by TinMan
What's with the obsession some people on here have with wanting everything in terms of long and short?Who cares? Calculate your risk and get on with your life.
Position type in currency swaps
Posted: March 28th, 2011, 6:00 pm
by kindlyMe
It is not any problem with obsession as such. I am working on developing some naive package with VBA, so I want to bring **some consistency** in declaring the position type, that's it. Thanks,
Position type in currency swaps
Posted: March 28th, 2011, 6:07 pm
by TinMan
The point is that it's of no significance.If you output a position type as long/short, the first question anyone will ask is what is the PV01, rendering your distinction redundant.