CFA Level 2 | Derivatives: Pricing Currency Swaps

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CFA Level 2
Topic: Derivatives
Reading: Pricing and Valuation of Forward Commitments

Currency swaps! The next thing that CFA Level 2 exam candidates fear after interest rate swaps. It's not all difficult. This is how we do it at Noesis.

[Before you watch this video, you should know how to calculate the fixed swap rate of an interest rate swap, else you can watch this first:    • CFA Level 2 | Derivatives: Pricing In...  ]

I'm running through a quick example on:
1) how we price currency swaps (assuming both legs are on fixed rates)
2) how we determine the notional of the other leg of the swap
3) how we calculate the payments every period.

Valuing currency swaps:    • CFA Level 2 | Derivatives: Valuing Cu...  

Visit www.noesis.edu.sg/programme/cfa for more information on CFA Program prep courses offered by Noesis Exed (Noesis Academy)