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Quanto Swap

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Quanto swap

Quanto Swap
A swap of any kind in which the assets swapped are denominated in two different currencies, but are settled in the same currency. For example, two investors may swap interest rates, one calculated in British pounds and one calculated in U.S. dollars, and settle in dollars. The exchange rate at which the contract is settled is specified at the beginning of the contract to protect the counterparties from foreign exchange risk.


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Swaps - Differential Swaps 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.
Swaps - Differential Swaps 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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