cross currency interest rate swap 1
noundomain: communication
EnWordnet [ver.5.0]
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EnglishDefinition
an agreement between two parties to exchange interest payments and principals denominated in two different currencies.
Examples
- 1.It is well recognized that traditional "textbook" theory does not price cross currency (basis) swaps correctly, because it assumes the funding cost in each currency to be equal to its floating rate, thus always giving a zero cross currency spread, which is clearly contrary to what is observed in the market.
