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Differential swap |
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Differential swap Swap between two LIBOR rates of interest, e.g., yen LIBOR for dollar LIBOR Payments are in one currency. Differential swap A plain vanilla swap in which one of the legs is paid in a currency other than the one in which it is calculated. For example, the notional amount over which the interest rates are calculated may be in U.S. dollars, but one of the payments may be made in yen. A differential swap may be entered in order to take advantage of a favorable exchange rate. See also: Exchange rate risk, Currency swap. How to thank TFD for its existence? Tell a friend about us, add a link to this page, add the site to iGoogle, or visit webmaster's page for free fun content. |
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A differential swap - also known as diff swap, index differential swap, cross currency interest rate swap or quanto swap - is a variation of an interest rate swap, distinguished by the fact that at least one (and possibly both) of the payment rates refers to a currency different from that of the notional principal. A differential swap - also known as diff swap, index differential swap, cross currency interest rate swap or quanto swap - is a variation of an interest rate swap, distinguished by the fact that at least one (and possibly both) of the payment rates refers to a currency different from that of the notional principal. |
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