Market Risk and Mark-to-Market Valuation of the Cross Currency Swap

16 Pages Posted: 27 Aug 2013 Last revised: 5 Sep 2013

Date Written: August 26, 2013

Abstract

In this paper we discuss some popular notions of the fixed income pricing. We pay attention to formal side of the use such notions as discount factor and mark-to-market valuation of the risk free cross currency swap.

Keywords: Discount factor, risk free bond, Libor, OIS, market risk, mark-to-market valuation, interest rate swap, cross currency swap, stochastic Libor model

JEL Classification: G12, G13

Suggested Citation

Gikhman, Ilya I., Market Risk and Mark-to-Market Valuation of the Cross Currency Swap (August 26, 2013). Available at SSRN: https://ssrn.com/abstract=2316444 or http://dx.doi.org/10.2139/ssrn.2316444

Ilya I. Gikhman (Contact Author)

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