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IR risk in cross currency swaps

Posted: October 16th, 2011, 12:38 pm
by Padaiu
Consider q regulqr cross currency basis swap ie floating currency 1 vs floating currency 2.Considering fixings on both legs are floating is there any interest rate risk on each leg of the swap ?Looks like there is still a risk of fixing blowing up one way or the other ...

IR risk in cross currency swaps

Posted: November 9th, 2011, 7:52 am
by sandipan2011
Interest rate risk will come through the discount factor...(swap value will be impacted)