Currency Swap Inputs
This calculator values a fixed-for-fixed currency swap using spot conversion, periodic coupons, discounting, and a domestic-equivalent translation for the foreign leg.
Example Data Table
Use this sample scenario to test the calculator and verify your output formatting.
| Input Item | Example Value |
|---|---|
| Domestic Currency | USD |
| Foreign Currency | EUR |
| Domestic Notional | 1,000,000 |
| Spot Rate | 0.9000 EUR per 1 USD |
| Domestic Fixed Rate | 5.00% |
| Foreign Fixed Rate | 3.80% |
| Term | 3 Years |
| Payments Per Year | 2 |
| Domestic Discount Rate | 4.60% |
| Foreign Discount Rate | 3.50% |
| Valuation FX Rate | 0.9200 EUR per 1 USD |
| Perspective | Pay USD, Receive EUR |
Formula Used
This page assumes a fixed-for-fixed currency swap with periodic coupon exchanges and a principal exchange at maturity. Initial principal exchange is value-neutral at the spot rate.
Foreign Notional = Domestic Notional × Spot Rate
Domestic Coupon Per Period = Domestic Notional × Domestic Fixed Rate ÷ Payments Per Year
Foreign Coupon Per Period = Foreign Notional × Foreign Fixed Rate ÷ Payments Per Year
Domestic Discount Factor at Period k = 1 ÷ (1 + Domestic Discount Rate ÷ Payments Per Year)^k
Foreign Discount Factor at Period k = 1 ÷ (1 + Foreign Discount Rate ÷ Payments Per Year)^k
PV of Domestic Leg = Sum of Discounted Domestic Coupons + Discounted Domestic Principal
PV of Foreign Leg = Sum of Discounted Foreign Coupons + Discounted Foreign Principal
PV of Foreign Leg in Domestic Currency = PV of Foreign Leg ÷ Valuation FX Rate
Net Value for Pay Domestic Perspective = PV of Foreign Leg in Domestic Currency − PV of Domestic Leg
Net Value for Receive Domestic Perspective = PV of Domestic Leg − PV of Foreign Leg in Domestic Currency
For clean modelling, the calculator uses equal coupon spacing, fixed rates, and periodic discounting. It does not model day-count conventions, floating legs, credit spreads, collateral, or irregular stub periods.
How to Use This Calculator
- Enter both currency codes for the swap legs.
- Input the domestic notional amount.
- Provide the spot rate as foreign currency per one domestic unit.
- Enter fixed coupon rates for both legs.
- Set term length and coupon frequency.
- Add both discount rates for present value calculations.
- Enter the valuation FX rate used to convert the foreign leg into domestic terms.
- Select your perspective, then submit the form.
- Review results, schedule, and chart above the form.
- Use the CSV or PDF buttons to export your results.
Frequently Asked Questions
1) What does this currency swap calculator measure?
It estimates foreign notional size, coupon flows, present values for both legs, domestic-equivalent foreign value, maturity principal exchange effect, and total net value from your selected perspective.
2) Why is the foreign notional derived from the spot rate?
A standard fixed currency swap starts by matching principal amounts at the agreed spot exchange rate. That translation creates a foreign notional economically equivalent to the domestic notional at inception.
3) What is the valuation FX rate used for?
The valuation FX rate converts the discounted foreign leg into domestic currency. This lets you compare both legs on one base and calculate a domestic-currency net present value.
4) What does the perspective selector change?
Perspective changes the sign of net cash flows and net present value. One view treats the domestic leg as an outflow, while the other treats it as an inflow.
5) Does this calculator support floating-rate legs?
No. This version is built for a fixed-for-fixed structure. Floating benchmarks, reset dates, spread adjustments, and forward-rate forecasting are outside this simplified model.
6) Why can the net present value be negative?
A negative result means the selected perspective receives less discounted value than it pays. This can happen because of coupon differences, valuation FX moves, or discount-rate assumptions.
7) Are principal exchanges included?
Yes. The maturity principal exchange is included in the schedule and valuation. The opening exchange is assumed economically neutral at spot, so it does not create inception profit.
8) When should I export CSV or PDF?
Export after reviewing the result cards and payment schedule. CSV works well for spreadsheet analysis, while PDF is useful for client notes, reporting packs, or archived documentation.