XCS and FX swaps: market risks
In this answerthis answer to a question about cross currency swaps, the author shows the following deltas for a xCCY swap, but it shows no FX risk. How come? If we enter a EUR USD xCCY swap and we are based in EUR, then the USD leg needs to be converted to EUR and that gives us some fx risk.
XCS and FX swaps: market risks
In this answer, the author shows the following deltas for a xCCY swap, but it shows no FX risk. How come? If we enter a EUR USD xCCY swap and we are based in EUR, then the USD leg needs to be converted to EUR and that gives us some fx risk.
In this answer to a question about cross currency swaps, the author shows the following deltas for a xCCY swap, but it shows no FX risk. How come? If we enter a EUR USD xCCY swap and we are based in EUR, then the USD leg needs to be converted to EUR and that gives us some fx risk.
XCS and FX swaps: market risks
In this answer, the author shows the following deltas for a xCCY swap, but it shows no FX risk. How come? If we enter a EUR USD xCCY swap and we are based in EUR, then the USD leg needs to be converted to EUR and that gives us some fx risk.
