The valuation of a Cross Currency Interest Rate Swap (CCIRS)

Описание: A Cross Currency Interest Rate Swap (CCIRS), is a derivative financial transaction, that is often used to manage the balance sheet translation currency risk.

These long term contracts have to be valued for different purposes, for example to value a swap for an annual account report. With an example, this short video illustrates how to calculate the clean and dirty value of a CCIRS. You learn step by step how to calculate the CCIRS values and for what purpose the different values are used.

Topic basket:
1) How a Cross Currency Interest Rate Swap is structured
2)What is the difference between the clean and dirty value
3)The step by step calculation of the clean and dirty value of a Cross Currency Interest Rate Swap
4)How to record the value of a Cross Currency Interest Rate Swap on a balance sheet;
5)The relation between the value of a Cross Currency Interest Rate Swap and a margin requirement


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