EduMarkets Cross Currency Swaps

Cross-currency swaps are how large borrowers fund themselves in one currency and repay in another. The module covers construction across the major pairs, explains why the cross-currency basis exists, and stress-tests trades under both FX and rate moves. These are the same building blocks corporates and banks use to manage funding across currencies.

Handbook chapters

  1. What Is a Cross Currency Swap?
  2. Why Does the Basis Exist?
  3. Who Uses This and Why?
  4. Key Product Variants
  5. The SOFR / RFR Transition
  6. Basis Spread Mechanics
  7. Mark-to-Market Resetting
  8. Pricing & Valuation
  9. Basis Through Crisis: CIP and Its Breakdown
  10. Basis by Pair
  11. Notional Exchange: Why It Matters
  12. Central Bank Swap Lines and the Basis

Tools and exercises

  • Pricing & Risk
    • Cross-Currency Swaps
  • Sensitivity
  • Exercises
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