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- 2011-7-11
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4#
发表于 2011-10-5 17:32
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That's good. I just needed a general idea of what you're doing. Basically, you will need two curves: 1) the US swap rate, and 2) the USDCOP FX forward curve.
To get the value of the US floating leg, take forward rates at the fixing maturities, and discount them using the spot rate at the payment maturity.
To get the value of the COP fixed leg, translate each payment into USD at the forward rate. For instance, if you will receive 2000 COP pesos in 18 month, and the forward exchange rate is 2000 COP/USD, this is equivalent to receiving $1 in 18 months. Take the PV of $1 in 18 months and repeat for all payments.
You can also use the Colombian interest rate curve to derive the USDCOP forward curve with interest rate parity. This method will have some error though; currency forwards don't always trade at levels implied by rates curves.
Anyway, I hope that helps. |
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