Foreign Exchange Swaps: Pricing and Options

This lecture covers FX swaps, which involve spot sale of a currency combined with forward repurchase. It explains how the amount of forward repurchase is fixed at the start of the contract and provides examples. The pricing of a CHF/EUR swap is discussed, showing how the assets are exchanged and how the swap has zero initial net value. Additionally, it delves into FX futures and options, detailing how FX options work and the difference between put and call options. The lecture concludes with a summary of the foreign exchange market, FX contracts, and the concept of carry trade.

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