Georgi Georgiev


This manuscript focuses on the process of realizing a not so widespread practice of international business activity in our region, but which could contribute to a mutual financial benefit for both parties. The purpose is to presented to the interested parties the technique of constructing, pricing and evaluating a foreign exchange swap. In details are showned the calculation of the swap rates and contractual payments at specified dates in time. The FX swap is evaluated by two methods - the bond approach and as series of forward contracts.

Full Text:



Boenkost W. and W. M. Schmidt, Cross currency swap valuation, Centre for Practical Quantitative Finance, Frankfurt, 2005

Burgess Nicholas, Cross Currency Swap Theory & Practice - An Illustrated Step-by-Step Guide of How to Price Cross Currency Swaps and Calculate the Basis Spread, 2018

Canty Elaine and Christopher Seenan, Introduction to derivative instruments, Part I, Deloitte & Touche Ireland, 2014, p 20.

Cusatis Patrick J., Interest Rate Swap Pricing, CFA, The Pennsylvania State University - Harrisburg 2008, p. 10

John Hull. Options, futures, and other derivatives. Pearson Education, Harlow, Essex, 8. global edition, 2012. ISBN 9780273759072

Kim Suk H. and Seung H. Kim, Global corporate finance: text and cases, 6th ed., Blackwell Publishing Ltd, 2006 p. 185

Young, Andrew R. A Morgan Stanley Guide to Fixed Income Analysis, Morgan Stanley, 1997

Another approach to build a yield curve, we need to combine current deposit rates, futures prices, treasury yields, and interest rate swap spreads together. Those factors make up today’s coupon yield curve. See Zheng Juntian, Analysis of the Discount Factors in Swap Valuation, Uppsala University, 2010 p. 23


  • There are currently no refbacks.