FX swap
Combine two opposite currency exchanges at different dates. Follow the near leg, the far leg and their combined P&L.
How it works
A purchase buys the base currency on the near date and sells it on the far date. A sale reverses both legs. The same base-currency notional applies to both. The far contractual rate is the near outright rate plus the entered swap points.
Key contract terms
- Currency pair and base-currency notional
- Buy or sell
- Near and far dates
- Near outright rate
- Swap points in rate units
Payoff: the contractual result
For a purchase, each near-leg rate difference contributes positively and each far-leg difference negatively: notional × [(market near − contract near) × near discount factor − (market far − contract far) × far discount factor]. Once a leg's date passes, its exact dated FX rate determines its realized amount.
A simple example
Buy EUR 100,000 near at 1.1000 and sell far at 1.1050 USD per EUR. Exact near/far rates of 1.1100/1.1200 give USD +1,000 and −1,500: final combined P&L is USD −500.
Illustrative amounts exclude fees and currency conversion. A payoff is distinct from the instrument's value before maturity.
Lifecycle
- Contract created
- Near leg realized
- Far leg remains open
- Final result once data is confirmed
- Create both legs with their dates, common notional and exchange rates.
- At the near date, an exact exchange rate realizes the near-leg result. The far leg remains open: this first fixing does not close the swap.
- At the far date, its exact exchange rate determines the remaining result. The swap is finalized only when the required observations are available.
- The two realized leg results remain part of total P&L. The application does not execute the currency transfers.
Using this instrument in OTCValue
The far date must follow the near date. Enter swap points as rate units, not an unconverted pip count. Market curves and exact historical rates are required. Realized near-leg P&L remains in the contract value; neither leg records bank settlement or actual currency transfers.