See: Differential swap
Copyright © 2012, Campbell R. Harvey. All Rights Reserved.
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.
Farlex Financial Dictionary. © 2012 Farlex, Inc. All Rights Reserved