Asset Pricing

SWAP

FX Forward

fixing future currency exchange rate in present day

inform of FX Forward graph

CRS

exchanges of interest between two currencies

IRS

exchanges of interest between the same currency

inform of IRS

FX Forward / SWAP usage

  • Means to solve currency risk and settlement problems at expiration
    • Ex) Investing US-issued bonds (buying positions), take FX forward sell position positions to prevent loss from KRW revaluation
  • inform of USD Long Position + Short FX Forward
  • Risk management example
  • inform of Position, forecast, Risk Management
    Position forecast Risk Management
    Fixed rate asset Rate Hike Fixed Rate → Float Rate

FX Swap (FX Buy & Sell)

inform of FX Swap (FX Buy & Sell)

IRS & CRS Trade

  • IRS : coupon swap(Fixed VS float), Basis Swap(Float VS Float)
  • CRS : Basis Swaps are traded in following types Float VS Float, Fixed VS Float. Fixed VS Fixed
  • Floating rate index represented by short-term interest rates of the country (ex KRW:. CD91D, USD: Libor, etc.)
inform of IRS & CRS 거래 형태