CurrencySwap

CurrencySwap instrument object

Since R2024a

Description

Create and price a CurrencySwap instrument object for one or more currency swap instruments using this workflow:

Use fininstrument to create a CurrencySwap instrument object for one or more currency swap instruments.
Use ratecurve to specify curve models for the CurrencySwap instrument object.
Use finpricer to specify a FXDiscount pricing method.

For more information on this workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.

For more information on the available models and pricing methods for supported instruments, see Choose Instruments, Models, and Pricers.

Creation

Syntax

SwapInstrument = fininstrument(InstrumentType,Maturity=maturity_date,LegRate=leg_rate)

SwapInstrument = fininstrument(___,Name=Value)

Description

SwapInstrument = fininstrument(InstrumentType,Maturity=maturity_date,LegRate=leg_rate) creates a CurrencySwap object for one or more Currency Swap instruments by specifying InstrumentType and sets the properties for the required name-value arguments Maturity and LegRate.

The CurrencySwap object supports a Vanilla Currency Swap and a Forward Currency Swap.

Note

You can also use the Swap instrument for a single currency swap but not a cross-currency swap. For cross-currency swaps, use CurrencySwap. For more information on using a Swap instrument, see Vanilla Swap, Swap with Amortization, and Forward Swap.

example

SwapInstrument = fininstrument(___,Name=Value) sets optional properties using name-value arguments in addition to the required arguments in the previous syntax. For example, CurrencySwapInstrument = fininstrument("CurrencySwap",Maturity=datetime(2024,8,30),LegRate=[0.06 0.12],LegType=["fixed","fixed"],Basis=1,Notional=10000,StartDate=datetime(2023,11,30),DaycountAdjustedCashFlow=true,BusinessDayConvention="follow",ProjectionCurve=ratecurve,Name="currencyswap_instrument") creates a CurrencySwap option with a maturity of August 30, 2024. You can specify multiple name-value pair arguments.

example

Input Arguments

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`InstrumentType` — Instrument type
string with value `"CurrencySwap"` | string array with values of `"CurrencySwap"` | character vector with value `'CurrencySwap'` | cell array of character vectors with values of `'CurrencySwap'`

Instrument type, specified as a string with the value of "CurrencySwap", a character vector with the value of 'CurrencySwap', an NINST-by-1 string array with values of "CurrencySwap", or an NINST-by-1 cell array of character vectors with values of 'CurrencySwap'.

Data Types: char | cell | string

Name-Value Arguments

Specify required and optional pairs of arguments as Name1=Value1,...,NameN=ValueN, where Name is the argument name and Value is the corresponding value. Name-value arguments must appear after other arguments, but the order of the pairs does not matter.

Example: CurrencySwapInstrument = fininstrument("CurrencySwap",Maturity=datetime(2024,8,30),LegRate=[0.06 0.12],LegType=["fixed","fixed"],Basis=1,Notional=10000,StartDate=datetime(2023,11,30),DaycountAdjustedCashFlow=true,BusinessDayConvention="follow",ProjectionCurve=ratecurve,Name="currencyswap_instrument")

Required CurrencySwap Name-Value Arguments

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`Maturity` — Currency swap maturity date
datetime array | string array | date character vector

Currency swap maturity date, specified a scalar or an NINST-by-1 vector using a datetime array, string array, or date character vectors.

If you use date character vectors or strings, the format must be recognizable by datetime because the Maturity property is stored as a datetime.

Data Types: datetime | string | char

`LegRate` — Currency swap leg rate in decimal values
matrix

Currency swap Leg rate in decimal values, specified as a NINST-by-2 matrix. Each row can be defined as one of the following:

[CouponRate Spread] (fixed-float)
[Spread CouponRate] (float-fixed)
[CouponRate CouponRate] (fixed-fixed)
[Spread Spread] (float-float)

CouponRate is the decimal annual rate. Spread is the number of basis points in decimals over the reference rate. The first column represents the receiving leg, while the second column represents the paying leg.

Data Types: double

Optional CurrencySwap Name-Value Arguments

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`LegType` — Currency swap leg type
`["fixed","float"]` for each instrument (default) | cell array of character vectors with values `{'fixed','fixed'}`, `{'fixed','float'}`, `{'float','fixed'}`, or `{'float','float'}` | string array with values `["fixed","fixed"]`, `["fixed","float"]`, `["float","fixed"]`, or `["float","float"]`

Currency swap leg type, specified as a cell array of character vectors or a string array with the supported values. The LegType defines the interpretation of the values entered in LegRate.

Data Types: cell | string

`ProjectionCurve` — Rate curve for projecting floating cash flows
`ratecurve.empty` (default) | scalar `ratecurve` object | vector of `ratecurve` objects

Rate curve for projecting floating cash flows, specified as a scalar ratecurve object or an NINST-by-1 vector of ratecurve objects. You must create this object using ratecurve.

Data Types: object

`ResetOffset` — Offset in rate setting
`[0 0]` (default) | vector

Offset in rate setting, specified as an NINST-by-2 matrix.

Data Types: double

`Reset` — Frequency of payments per year
`[2 2]` (default) | numeric value of `0`, `1`, `2`, `3`, `4`, `6`, or `12` | matrix

Frequency of payments per year, specified as a scalar (or an NINST-by-2 matrix if Reset is different for each leg) with one of the following values: 0, 1, 2, 3, 4, 6, or 12.

Data Types: double

`Basis` — Day count basis representing the basis for each leg
`[0 0]` (actual/actual) (default) | integer from `0` to `13`

Day count basis representing the basis for each leg, specified as an NINST-by-1 matrix (or an NINST-by-2 matrix if Basis is different for each leg).

0 — actual/actual
1 — 30/360 (SIA)
2 — actual/360
3 — actual/365
4 — 30/360 (PSA)
5 — 30/360 (ISDA)
6 — 30/360 (European)
7 — actual/365 (Japanese)
8 — actual/actual (ICMA)
9 — actual/360 (ICMA)
10 — actual/365 (ICMA)
11 — 30/360E (ICMA)
12 — actual/365 (ISDA)
13 — BUS/252

For more information, see Basis.

Data Types: double

`Notional` — Notional value for each leg
`[100 100]` (default) | numeric array

Notional value for each leg, specified as a scalar 1-by-2 numeric array.

Data Types: double

`LatestFloatingRate` — Latest floating rate for float legs
if not specified, then `ratecurve` must contain this information (default) | scalar numeric | vector

Latest floating rate for float legs, specified as a scalar numeric or an NINST-by-1 numeric vector.

LatestFloatingRate is an NINST-by-1 matrix (or an NINST-by-2 matrix if LatestFloatingRate is different for each leg).

Data Types: double

`DaycountAdjustedCashFlow` — Flag to adjust cash flows based on day count convention
`false` (default) | logical value of `true` or `false` | vector of logical values of `true` or `false`

Flag to adjust cash flows based on day count convention, specified as an NINST-by-1 matrix (or an NINST-by-2 matrix if AdjustCashFlowsBasis is different for each leg) of logicals with values of true or false.

Data Types: logical

`BusinessDayConvention` — Business day conventions for cash flow dates
`"actual"` (default) | string | string array | character vector | cell array of character vectors

Business day conventions for cash flow dates, specified as a string (or an NINST-by-2 string array if BusinessDayConvention is different for each leg) or a character vector (or an NINST-by-2 cell array of character vectors if BusinessDayConvention is different for each leg). The selection for business day convention determines how nonbusiness days are treated. Nonbusiness days are defined as weekends plus any other date that businesses are not open (for example, statutory holidays). Values are:

"actual" — Nonbusiness days are effectively ignored. Cash flows that fall on nonbusiness days are assumed to be distributed on the actual date.
"follow" — Cash flows that fall on a nonbusiness day are assumed to be distributed on the following business day.
"modifiedfollow" — Cash flows that fall on a nonbusiness day are assumed to be distributed on the following business day. However, if the following business day is in a different month, the previous business day is adopted instead.
"previous" — Cash flows that fall on a nonbusiness day are assumed to be distributed on the previous business day.
"modifiedprevious" — Cash flows that fall on a nonbusiness day are assumed to be distributed on the previous business day. However, if the previous business day is in a different month, the following business day is adopted instead.

Data Types: char | cell | string

`Holidays` — Holidays used in computing business days
`NaT` (default) | datetime array | string array | date character vector

Holidays used in computing business days, specified as dates using an NINST-by-1 vector of datetimes, cell array of date character vectors, or date string array. For example:

H = holidays(datetime('today'),datetime(2025,12,15));
Swap = fininstrument("CurrencySwap",'Maturity',datetime(2025,12,15),'LegRate',[0.06 20],'Holidays',H)

Data Types: datetime | string | char

`EndMonthRule` — End-of-month rule flag for generating dates when `Maturity` is end-of-month date for month with 30 or fewer days
`[true true]` (in effect) (default) | logical with value of `true` or `false` | vector of logicals with values of `true` or `false`

End-of-month rule flag for generating dates when Maturity is an end-of-month date for a month with 30 or fewer days, specified as a logical value of true or false using an NINST-by-1 matrix (or an NINST-by-2 matrix if EndMonthRule is different for each leg).

If you set EndMonthRule to false, the software ignores the rule, meaning that a payment date is always the same numerical day of the month.
If you set EndMonthRule to true, the software sets the rule on, meaning that a payment date is always the last actual day of the month.

Data Types: logical

`StartDate` — Forward starting date of payments
`Settle` date (default) | datetime array | string | string array | date character vector | cell array of date character vectors

Forward starting date of payments, specified as a scalar or an NINST-by-1 vector using a datetime array, string array, or date character vectors.

If you use date character vectors or strings, the format must be recognizable by datetime because the StartDate property is stored as a datetime.

Data Types: datetime | char | string | cell

`ExchangeInitialNotional` — Indicator whether the currency swap exchanges principal at `Settle`
`true` (in effect) (default) | logical with value of `true` or `false` | vector of logicals with values of `true` or `false`

Indicator whether the currency swap exchanges principal at Settle, specified as a scalar logical value of true or false or an NINST-by-1 matrix.

Data Types: logical

`ExchangeMaturityNotional` — Indicator whether the currency swap exchanges principal at `Maturity`
`true` (in effect) (default) | logical with value of `true` or `false` | vector of logicals with values of `true` or `false`

Indicator whether the currency swap exchanges principal at Maturity, specified as a scalar logical value of true or false or an NINST-by-1 matrix.

Data Types: logical

`Name` — User-defined name for instrument
`" "` (default) | string | string array | character vector | cell array of character vectors

User-defined name for the instrument, specified as a scalar string or character vector or an NINST-by-1 cell array of character vectors or string array.

Data Types: char | cell | string

Properties

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`Maturity` — Currency swap maturity date
scalar datetime | vector of datetimes

Currency swap maturity date, returned as a scalar datetime or an NINST-by-1 vector of datetimes.

Data Types: datetime

`LegRate` — Currency swap leg rate
matrix

Currency swap leg rate, returned as an NINST-by-2 matrix of decimal values, with each row defined as one of the following:

[CouponRate Spread] (fixed-float)
[Spread CouponRate] (float-fixed)
[CouponRate CouponRate] (fixed-fixed)
[Spread Spread] (float-float)

Data Types: double

`LegType` — Currency swap leg type
`["fixed","float"]` for each instrument (default) | string array with values `["fixed","fixed"]`, `["fixed","float"]`, `["float","fixed"]`, or `["float","float"]`

Currency swap leg type, returned as a string array with the values ["fixed","fixed"], ["fixed","float"], ["float","fixed"], or ["float","float"].

Data Types: string

`ProjectionCurve` — Rate curve used in generating future cash flows
`ratecurve.empty` (default) | scalar `ratecurve` object | vector of `ratecurve` objects

Rate curve used in projecting the future cash flows, returned as a ratecurve object or an NINST-by-1 vector of ratecurve objects.

Data Types: object

`ResetOffset` — Offset in rate setting
`[0 0]` (default) | matrix

Offset in rate setting, returned as an NINST-by-2 matrix.

Data Types: double

`Reset` — Frequency of payments per year
`[2 2]` (default) | vector

Frequency of payments per year, returned as a scalar or an NINST-by-2 matrix.

Data Types: double

`Basis` — Day count basis
`[0 0]` (actual/actual) (default) | integer from `0` to `13`

Day count basis, returned as an NINST-by-1 or an NINST-by-2 matrix.

Data Types: double

`Notional` — Notional value for each leg
`100` (default) | numeric array

Notional value for each leg, returned as a scalar 1-by-2 numeric array.

Data Types: double

`LatestFloatingRate` — Latest floating rate for float legs
if not specified, then `ratecurve` must contain this information (default) | scalar numeric | numeric vector

Latest floating rate for float legs, returned as a scalar numeric or an NINST-by-1 numeric vector or an NINST-by-2 ifLatestFloatingRate is different for each leg.

Data Types: double

`DaycountAdjustedCashFlow` — Flag to adjust cash flows based on day count convention
`false` (default) | logical value of `true` or `false` | vector of logical values of `true` or `false`

Flag to adjust cash flows based on day count convention, returned as an NINST-by-1 matrix (or an NINST-by-2 matrix if AdjustCashFlowsBasis is different for each leg) of logicals with values of true or false.

Data Types: logical

`BusinessDayConvention` — Business day conventions for cash flow dates
`"actual"` (default) | string | string array

Business day conventions for cash flow dates, returned as a string or an NINST-by-2 string array if BusinessDayConvention is different for each leg.

Data Types: char | cell | string

`Holidays` — Holidays used in computing business days
`NaT` (default) | datetimes

Holidays used in computing business days, returned as an NINST-by-1 vector of datetimes.

Data Types: datetime

`EndMonthRule` — End-of-month rule flag for generating dates when `Maturity` is end-of-month date for month with 30 or fewer days
`[true true]` (in effect) (default) | logical with value of `true` or `false` | vector of logicals with values of `true` or `false`

End-of-month rule flag for generating dates when Maturity is an end-of-month date for a month with 30 or fewer days, returned as an NINST-by-1 matrix (or an NINST-by-2 matrix if EndMonthRule is different for each leg).

Data Types: logical

`StartDate` — Forward starting date of payments
`Settle` date (default) | scalar datetime | vector of datetimes

Forward starting date of payments, returned as a scalar datetime or an NINST-by-1 vector of datetimes.

Data Types: datetime

`ExchangeInitialNotional` — Indicator whether the currency swap exchanges principal at `Settle`
`true` (in effect) (default) | logical with value of `true` or `false` | vector of logicals with values of `true` or `false`

Indicator whether the currency swap exchanges principal at Settle, returned as a scalar logical value of true or false or an NINST-by-1 matrix.

Data Types: logical

`ExchangeMaturityNotional` — Indicator whether the currency swap exchanges principal at `Maturity`
`true` (in effect) (default) | logical with value of `true` or `false` | vector of logicals with values of `true` or `false`

Indicator whether the currency swap exchanges principal at Maturity, returned as a scalar logical value of true or false or an NINST-by-1 matrix.

Data Types: logical

`Name` — User-defined name for instrument
`""` (default) | string | string array

User-defined name for the instrument, returned as a scalar string or an NINST-by-1 string array.

Data Types: string

Examples

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Price `CurrencySwap` Instrument Across Currencies Using Multiple `ratecurve` Objects and `FXDiscount` Pricer

Open Live Script

This example shows the workflow to price a CurrencySwap instrument by using two ratecurve objects for two zero rates for different currencies and then use a FXDiscount pricing method.

Create ratecurve Objects

Create two ratecurve objects using ratecurve for the discounting cash flows for the CurrencySwap instrument. The ZeroCurve_USD zero curve is for US currency and the EUR_Zero zero curve is for Euro currency.

Settle = datetime(2023,9,15);

% US Currency
USD_Dates = datemnth(Settle,[1 3 6 12*[1 2 3 5 7 10 20 30]]');
USD_Zero = [0.03 0.06 0.08 0.13 0.36 0.76 1.63 2.29 2.88 3.64 3.89]'/100;
ZeroCurve_USD = ratecurve("zero",Settle,USD_Dates,USD_Zero,Compounding=1)

ZeroCurve_USD = 
  ratecurve with properties:

                 Type: "zero"
          Compounding: 1
                Basis: 0
                Dates: [11x1 datetime]
                Rates: [11x1 double]
               Settle: 15-Sep-2023
         InterpMethod: "linear"
    ShortExtrapMethod: "next"
     LongExtrapMethod: "previous"

% Euro currency
EUR_Dates = datemnth(Settle,[3 6 12*[1 2 3 5 7 10 20 30]]');
EUR_Zero = [0.017 0.033 0.088 .27 .512 1.056 1.573 2.183 2.898 2.797]'/100;
ZeroCurve_EUR = ratecurve("zero",Settle,EUR_Dates,EUR_Zero,Compounding=1)

ZeroCurve_EUR = 
  ratecurve with properties:

                 Type: "zero"
          Compounding: 1
                Basis: 0
                Dates: [10x1 datetime]
                Rates: [10x1 double]
               Settle: 15-Sep-2023
         InterpMethod: "linear"
    ShortExtrapMethod: "next"
     LongExtrapMethod: "previous"

Create CurrencySwap Instrument Object

Use fininstrument to create a CurrencySwap instrument object.

% Cross-Currency Swap Data
Maturity_FXSwap = Settle + calyears(10);
LegRate_FXSwap = [2.5 4]/100;
LegType_FXSwap = ["fixed" "fixed"];
LegReset_FXSwap = [2 2];
Notional_FXSwap = [100 100/1.1];

CurrencySwap = fininstrument("CurrencySwap",Maturity=Maturity_FXSwap,LegRate=LegRate_FXSwap,LegType=LegType_FXSwap,Reset=LegReset_FXSwap,Notional=Notional_FXSwap,Name="currencyswap_instrument")

CurrencySwap = 
  CurrencySwap with properties:

                     LegRate: [0.0250 0.0400]
                     LegType: ["fixed"    "fixed"]
                       Reset: [2 2]
                       Basis: [0 0]
                    Notional: [100 90.9091]
          LatestFloatingRate: [NaN NaN]
                 ResetOffset: [0 0]
    DaycountAdjustedCashFlow: [0 0]
             ProjectionCurve: [0x0 ratecurve]
       BusinessDayConvention: ["actual"    "actual"]
                    Holidays: NaT
                EndMonthRule: [1 1]
     ExchangeInitialNotional: 1
    ExchangeMaturityNotional: 1
                   StartDate: NaT
                    Maturity: 15-Sep-2033
                        Name: "currencyswap_instrument"

Create FXDiscount Pricer Object

Use finpricer to create a FXDiscount pricer object and use the two ratecurve objects for the DiscountCurve name-value argument.

FXRate = [1 1.1];
myFXPricer = finpricer("FXDiscount",DiscountCurve=[ZeroCurve_EUR ZeroCurve_USD],FXRate=FXRate)

myFXPricer = 
  FXDiscount with properties:

    DiscountCurve: [1x2 ratecurve]
           FXRate: [1 1.1000]

Price CurrencySwap Instrument

Use price to compute the price and sensitivities for the CurrencySwap instrument.

[Price_FXSwap,outPR] = price(myFXPricer,CurrencySwap,"all")

Price_FXSwap = 
-7.5751

outPR = 
  priceresult with properties:

       Results: [1x2 table]
    PricerData: []

outPR.Results

ans=1×2 table
     Price       DV01   
    _______    _________

    -7.5751    0.0019076

Price Multiple `CurrencySwap` Instruments Across Currencies Using Multiple `ratecurve` Objects and `FXDiscount` Pricer

Open Live Script

This example shows the workflow to price multiple CurrencySwap instruments by using two ratecurve objects for two zero rates for different currencies and then use a FXDiscount pricing method.

Create ratecurve Objects

Settle = datetime(2023,9,15);

% US Currency
USD_Dates = datemnth(Settle,[1 3 6 12*[1 2 3 5 7 10 20 30]]');
USD_Zero = [0.03 0.06 0.08 0.13 0.36 0.76 1.63 2.29 2.88 3.64 3.89]'/100;
ZeroCurve_USD = ratecurve("zero",Settle,USD_Dates,USD_Zero,Compounding=1)

ZeroCurve_USD = 
  ratecurve with properties:

                 Type: "zero"
          Compounding: 1
                Basis: 0
                Dates: [11x1 datetime]
                Rates: [11x1 double]
               Settle: 15-Sep-2023
         InterpMethod: "linear"
    ShortExtrapMethod: "next"
     LongExtrapMethod: "previous"

% Euro currency
EUR_Dates = datemnth(Settle,[3 6 12*[1 2 3 5 7 10 20 30]]');
EUR_Zero = [0.017 0.033 0.088 .27 .512 1.056 1.573 2.183 2.898 2.797]'/100;
ZeroCurve_EUR = ratecurve("zero",Settle,EUR_Dates,EUR_Zero,Compounding=1)

ZeroCurve_EUR = 
  ratecurve with properties:

                 Type: "zero"
          Compounding: 1
                Basis: 0
                Dates: [10x1 datetime]
                Rates: [10x1 double]
               Settle: 15-Sep-2023
         InterpMethod: "linear"
    ShortExtrapMethod: "next"
     LongExtrapMethod: "previous"

Create CurrencySwap Instrument Object

Use fininstrument to create a CurrencySwap instrument object with three Currency Swap instruments.

% Cross-Currency Swap Data
LegRate_FXSwap = [2.5 4]/100;
LegType_FXSwap = ["fixed" "fixed"];
LegReset_FXSwap = [2 2];
Notional_FXSwap = [100 100/1.1];

CurrencySwap = fininstrument("CurrencySwap",Maturity=datetime([2024,9,15 ; 2025,9,15 ; 2026,9,15]),LegRate=LegRate_FXSwap,LegType=LegType_FXSwap,Reset=LegReset_FXSwap,Notional=Notional_FXSwap,Name="currencyswap_instrument")

CurrencySwap=3×1 CurrencySwap array with properties:
    LegRate
    LegType
    Reset
    Basis
    Notional
    LatestFloatingRate
    ResetOffset
    DaycountAdjustedCashFlow
    ProjectionCurve
    BusinessDayConvention
    Holidays
    EndMonthRule
    ExchangeInitialNotional
    ExchangeMaturityNotional
    StartDate
    Maturity
    Name

Create FXDiscount Pricer Object

Use finpricer to create a FXDiscount pricer object and use the two ratecurve objects for the DiscountCurve name-value argument.

FXRate = [1 1.1];
myFXPricer = finpricer("FXDiscount",DiscountCurve=[ZeroCurve_EUR ZeroCurve_USD],FXRate=FXRate)

myFXPricer = 
  FXDiscount with properties:

    DiscountCurve: [1x2 ratecurve]
           FXRate: [1 1.1000]

Price CurrencySwap Instruments

Use price to compute the price and sensitivities for the three CurrencySwap instruments.

[Price_FXSwap,outPR] = price(myFXPricer,CurrencySwap,"all")

Price_FXSwap = 3×1

   -1.4560
   -2.8083
   -3.7209

outPR=1×3 priceresult array with properties:
    Results
    PricerData

outPR.Results

ans=1×2 table
    Price        DV01   
    ______    __________

    -1.456    0.00082253

ans=1×2 table
     Price       DV01  
    _______    ________

    -2.8083    0.001519

ans=1×2 table
     Price       DV01   
    _______    _________

    -3.7209    0.0020789

More About

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Vanilla Currency Swap

A vanilla currency swap consists of two streams (legs) of fixed or floating interest payments denominated in two currencies.

A vanilla currency swap involves two parties agreeing to exchange cash flows based on a notional amount in two different currencies. This notional amount, representing the swap's principal value, is used to calculate interest payments but is typically not exchanged.

For example, Party A agrees to pay Party B a fixed interest rate in USD on a notional amount of $1 million, while Party B agrees to pay Party A a floating interest rate in EUR on the same notional amount. The exchange of interest payments occurs periodically, such as semiannually or annually, based on predetermined dates.

The workflow includes:

Agreement — Two parties, the fixed and floating payers, agree on the notional amount.
Interest Rate Determination — The parties agree on fixed and floating interest rates. The floating rate is usually linked to a reference rate and reset periodically.
Cash Flow Exchange — Periodically, the parties exchange cash flows based on the notional amount in their respective currencies.
Currency Conversion — If the notional amounts are in different currencies, a conversion occurs using prevailing market rates.
Principal Exchange — At the currency swap's end, the notional amount is exchanged back between the parties at the current exchange rate.

The purpose of a vanilla currency swap is to secure cheaper debt (by borrowing at the best available rate regardless of currency and then swapping for debt in desired currency using a back-to-back loan) or to hedge against foreign exchange rate fluctuations.

Forward Currency Swap

A forward currency swap consists of two streams (legs) of fixed or floating interest payments denominated in two currencies in which the exchange of cash flows begins at a future date, rather than immediately.

In a forward currency swap, two parties agree to exchange specified amounts of two different currencies at a specified future date and then reverse the exchange at another future date. This agreement allows the parties to lock in exchange rates for future transactions, which can be particularly useful for hedging against potential adverse movements in currency exchange rates.

The workflow includes:

Agreement — Two parties, the fixed and floating payers, agree on the notional amount.
Interest Rate Determination — The parties agree on fixed and floating interest rates. The floating rate is usually linked to a reference rate for a forward exchange rate.
Cash Flow Exchange — On an agreed future date, the parties exchange cash flows based on the notional amount in their respective currencies.
Principal Exchange — At the currency swap's end at another future date, the notional amount is exchanged back between the parties at the agreed upon forward rate.

The are several purposes for using forward currency swaps, such as:

Hedge against a foreign exchange risk.
Speculate on the future movements in exchange rates.
Manage debt obligations if borrowing costs are lower in a foreign currency. A company might borrow in that currency and use a forward currency swap to eliminate the foreign exchange risk.
Arbitrage a discrepancy between the forward exchange rate and the expected future spot rate.
Manage liquidity if a company has assets in one currency but needs liquidity in another. A forward currency swap can provide access to the needed funds.

Version History

Introduced in R2024a

CurrencySwap

Description

Creation

Syntax

Description

Input Arguments

InstrumentType — Instrument type string with value "CurrencySwap" | string array with values of "CurrencySwap" | character vector with value 'CurrencySwap' | cell array of character vectors with values of 'CurrencySwap'

Maturity — Currency swap maturity date datetime array | string array | date character vector

LegRate — Currency swap leg rate in decimal values matrix

ProjectionCurve — Rate curve for projecting floating cash flows ratecurve.empty (default) | scalar ratecurve object | vector of ratecurve objects

ResetOffset — Offset in rate setting [0 0] (default) | vector

Reset — Frequency of payments per year [2 2] (default) | numeric value of 0, 1, 2, 3, 4, 6, or 12 | matrix

Basis — Day count basis representing the basis for each leg [0 0] (actual/actual) (default) | integer from 0 to 13

Notional — Notional value for each leg [100 100] (default) | numeric array

LatestFloatingRate — Latest floating rate for float legs if not specified, then ratecurve must contain this information (default) | scalar numeric | vector

DaycountAdjustedCashFlow — Flag to adjust cash flows based on day count convention false (default) | logical value of true or false | vector of logical values of true or false

BusinessDayConvention — Business day conventions for cash flow dates "actual" (default) | string | string array | character vector | cell array of character vectors

Holidays — Holidays used in computing business days NaT (default) | datetime array | string array | date character vector

EndMonthRule — End-of-month rule flag for generating dates when Maturity is end-of-month date for month with 30 or fewer days [true true] (in effect) (default) | logical with value of true or false | vector of logicals with values of true or false

StartDate — Forward starting date of payments Settle date (default) | datetime array | string | string array | date character vector | cell array of date character vectors

ExchangeInitialNotional — Indicator whether the currency swap exchanges principal at Settle true (in effect) (default) | logical with value of true or false | vector of logicals with values of true or false

ExchangeMaturityNotional — Indicator whether the currency swap exchanges principal at Maturity true (in effect) (default) | logical with value of true or false | vector of logicals with values of true or false

Name — User-defined name for instrument " " (default) | string | string array | character vector | cell array of character vectors

Properties

Maturity — Currency swap maturity date scalar datetime | vector of datetimes

LegRate — Currency swap leg rate matrix

LegType — Currency swap leg type ["fixed","float"] for each instrument (default) | string array with values ["fixed","fixed"], ["fixed","float"], ["float","fixed"], or ["float","float"]

ProjectionCurve — Rate curve used in generating future cash flows ratecurve.empty (default) | scalar ratecurve object | vector of ratecurve objects

ResetOffset — Offset in rate setting [0 0] (default) | matrix

Reset — Frequency of payments per year [2 2] (default) | vector

Basis — Day count basis [0 0] (actual/actual) (default) | integer from 0 to 13

Notional — Notional value for each leg 100 (default) | numeric array

LatestFloatingRate — Latest floating rate for float legs if not specified, then ratecurve must contain this information (default) | scalar numeric | numeric vector

DaycountAdjustedCashFlow — Flag to adjust cash flows based on day count convention false (default) | logical value of true or false | vector of logical values of true or false

BusinessDayConvention — Business day conventions for cash flow dates "actual" (default) | string | string array

Holidays — Holidays used in computing business days NaT (default) | datetimes

EndMonthRule — End-of-month rule flag for generating dates when Maturity is end-of-month date for month with 30 or fewer days [true true] (in effect) (default) | logical with value of true or false | vector of logicals with values of true or false

StartDate — Forward starting date of payments Settle date (default) | scalar datetime | vector of datetimes

ExchangeInitialNotional — Indicator whether the currency swap exchanges principal at Settle true (in effect) (default) | logical with value of true or false | vector of logicals with values of true or false

ExchangeMaturityNotional — Indicator whether the currency swap exchanges principal at Maturity true (in effect) (default) | logical with value of true or false | vector of logicals with values of true or false

Name — User-defined name for instrument "" (default) | string | string array

Examples

Price CurrencySwap Instrument Across Currencies Using Multiple ratecurve Objects and FXDiscount Pricer

Price Multiple CurrencySwap Instruments Across Currencies Using Multiple ratecurve Objects and FXDiscount Pricer

More About

Vanilla Currency Swap

Forward Currency Swap

Version History

See Also

Functions

Topics

`InstrumentType` — Instrument type
string with value `"CurrencySwap"` | string array with values of `"CurrencySwap"` | character vector with value `'CurrencySwap'` | cell array of character vectors with values of `'CurrencySwap'`

`Maturity` — Currency swap maturity date
datetime array | string array | date character vector

`LegRate` — Currency swap leg rate in decimal values
matrix

`ProjectionCurve` — Rate curve for projecting floating cash flows
`ratecurve.empty` (default) | scalar `ratecurve` object | vector of `ratecurve` objects

`ResetOffset` — Offset in rate setting
`[0 0]` (default) | vector

`Reset` — Frequency of payments per year
`[2 2]` (default) | numeric value of `0`, `1`, `2`, `3`, `4`, `6`, or `12` | matrix

`Basis` — Day count basis representing the basis for each leg
`[0 0]` (actual/actual) (default) | integer from `0` to `13`

`Notional` — Notional value for each leg
`[100 100]` (default) | numeric array

`LatestFloatingRate` — Latest floating rate for float legs
if not specified, then `ratecurve` must contain this information (default) | scalar numeric | vector

`DaycountAdjustedCashFlow` — Flag to adjust cash flows based on day count convention
`false` (default) | logical value of `true` or `false` | vector of logical values of `true` or `false`

`BusinessDayConvention` — Business day conventions for cash flow dates
`"actual"` (default) | string | string array | character vector | cell array of character vectors

`Holidays` — Holidays used in computing business days
`NaT` (default) | datetime array | string array | date character vector

`EndMonthRule` — End-of-month rule flag for generating dates when `Maturity` is end-of-month date for month with 30 or fewer days
`[true true]` (in effect) (default) | logical with value of `true` or `false` | vector of logicals with values of `true` or `false`

`StartDate` — Forward starting date of payments
`Settle` date (default) | datetime array | string | string array | date character vector | cell array of date character vectors

`ExchangeInitialNotional` — Indicator whether the currency swap exchanges principal at `Settle`
`true` (in effect) (default) | logical with value of `true` or `false` | vector of logicals with values of `true` or `false`

`ExchangeMaturityNotional` — Indicator whether the currency swap exchanges principal at `Maturity`
`true` (in effect) (default) | logical with value of `true` or `false` | vector of logicals with values of `true` or `false`

`Name` — User-defined name for instrument
`" "` (default) | string | string array | character vector | cell array of character vectors

`Maturity` — Currency swap maturity date
scalar datetime | vector of datetimes

`LegRate` — Currency swap leg rate
matrix

`LegType` — Currency swap leg type
`["fixed","float"]` for each instrument (default) | string array with values `["fixed","fixed"]`, `["fixed","float"]`, `["float","fixed"]`, or `["float","float"]`

`ProjectionCurve` — Rate curve used in generating future cash flows
`ratecurve.empty` (default) | scalar `ratecurve` object | vector of `ratecurve` objects

`ResetOffset` — Offset in rate setting
`[0 0]` (default) | matrix

`Reset` — Frequency of payments per year
`[2 2]` (default) | vector

`Basis` — Day count basis
`[0 0]` (actual/actual) (default) | integer from `0` to `13`

`Notional` — Notional value for each leg
`100` (default) | numeric array

`LatestFloatingRate` — Latest floating rate for float legs
if not specified, then `ratecurve` must contain this information (default) | scalar numeric | numeric vector

`DaycountAdjustedCashFlow` — Flag to adjust cash flows based on day count convention
`false` (default) | logical value of `true` or `false` | vector of logical values of `true` or `false`

`BusinessDayConvention` — Business day conventions for cash flow dates
`"actual"` (default) | string | string array

`Holidays` — Holidays used in computing business days
`NaT` (default) | datetimes

`EndMonthRule` — End-of-month rule flag for generating dates when `Maturity` is end-of-month date for month with 30 or fewer days
`[true true]` (in effect) (default) | logical with value of `true` or `false` | vector of logicals with values of `true` or `false`

`StartDate` — Forward starting date of payments
`Settle` date (default) | scalar datetime | vector of datetimes

`ExchangeInitialNotional` — Indicator whether the currency swap exchanges principal at `Settle`
`true` (in effect) (default) | logical with value of `true` or `false` | vector of logicals with values of `true` or `false`

`ExchangeMaturityNotional` — Indicator whether the currency swap exchanges principal at `Maturity`
`true` (in effect) (default) | logical with value of `true` or `false` | vector of logicals with values of `true` or `false`

`Name` — User-defined name for instrument
`""` (default) | string | string array

Price `CurrencySwap` Instrument Across Currencies Using Multiple `ratecurve` Objects and `FXDiscount` Pricer

Price Multiple `CurrencySwap` Instruments Across Currencies Using Multiple `ratecurve` Objects and `FXDiscount` Pricer