Pricing a Cross-Currency Swap

Pricing a cross currency swap on the BlueGamma platform is straightforward. Simply follow the steps below to configure and compute your swap valuation.

1. Log In to BlueGamma

Navigate to BlueGamma and sign in to your account.

2. Choose “Cross Currency Swap”

From the navigation menu, locate and click on “Cross Currency.” This will open the swap configuration page where you can enter the details of your trade.

3. Select Your Base & Quote Currencies

1. Base Currency: Use the first drop-down to choose the currency you plan to fund in (e.g., EUR).

2. Quote Currency: Choose the currency you’re swapping into (e.g., USD).

4. Set the Swap Tenor

1. Tenor (Years): From the Tenor menu, pick the length of your swap (e.g., 10 years).

2. Valuation Time (Optional): If you want a historical analysis or a specific date/time, adjust the date settings accordingly.

4. Enter Your Spread to Benchmark

1. Spread Input: For each scenario column, type in the spread to the chosen benchmark (in basis points, bps). For instance, if you want to test a 150 bps, 200 bps, or 250 bps spread over the benchmark, you would enter those values in each scenario card.

2. Benchmark Rate: The platform automatically displays the relevant benchmark yield for the selected currency and tenor.

5. Compare Multiple Scenarios

1. Scenario Columns: You can add up to three columns (Scenario 1, 2, and 3) to run side-by-side comparisons.

2. Coupon Output: After entering the spread, the system calculates the equivalent coupon or fixed rate that would apply on the foreign currency bond.

3. Summary View: Each scenario card displays both the home (base) currency details and the implied metrics for the foreign (quote) currency.