🌍 Cross Currency Swaps

This subsection presents mathematical documentation—including a user guide—and a calculation tool for the valuation and risk assessment of cross-currency swaps. A cross-currency swap (CCS) is a financial derivative in which two parties exchange cash flows in different currencies. Typically, both interest payments and principal amounts are exchanged.

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Key features:

-Exchange of interest payments in two currencies

-Exchange of principal amounts at the start and end of the term

-Fixed exchange rate for principal exchange

-Fixed interest rates paid on both legs

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The Documents & Materials section contains a mathematical description of a cross-currency swap.

Specifically, the following elements are covered:

- User guide – explanation of all tables

- Input of yield curves (generating synthetic data, uploading historical data via CSV)

- All calculation formulas

- Interpretation of results

- Present value calculation

- Sensitivities

- Risk calculation (VaR)

- Worked example