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Hi,Lets assume that I have done a fx swap transaction detailed like belowI will receive 1million $ and pay 1.83 mio TRY today,I will pay 1 million $ and receive 1.86 mio TRY 3 months later.My question is, if domestic currency is TRY, do I have a foreign exchange risk? I guess I have fx risk and that is the difference between the present value of 1 million $(coming from 3months ahead) and 1 million $ today. Am I right?When I mark to market this transaction daily, do I have to take into account the first leg of the transaction(althought transaction occured some date in the past)?I have one more question that hasnt been answered yet, Reuters shows a gamma hedge value which's description is, "it is the difference of option gamma and underlying spot gamma"). Is there anyone that has an idea about meaning of "underlying spot gamma"Thanks in advance

In an FX swap - your position is only on the forward points and not spot. Net FX position = 0 as your long USD ( near leg) and short USD ( far leg)The MTM of this transaction should only be the diffrence between traded swap points and prevailing.You have traded at +0.03 (short) forward points here. So for MTM you will compare +0.03 with the forward points for the same maturity date

I don't agree with Adnan.1) You will definitely have a fx spot risk at inception of the deal if the two sizes of the fx swap are same, just because the delta spot of a fwd is not equal to the delta spot of a spot. 2) Of course you should do it, but after two days that leg will be bacome just cash financed by your treasury department3) Gamma is not involved in an fx swap transaction