Question Details

	Username: BobM Rating: Asked to: Goro Yang Date Created: 22 Aug 2019
Category	28
Tag	Financial
Question	What is a Quanto Swap?

Advice from Guru

Hi BobM,

A quanto swap is a cash-settled, cross-currency interest rate swap, where one of the counterparties pays a foreign interest rate to the other. The notional amount is denominated in the domestic currency. Interest rates may be fixed or floating.

Because they depend on the currency exchange rate and differences in interest rates in those currencies, they are also known as differential, rate differential, or just "diff" swaps. Another name for these swaps could also be guaranteed exchange rate swap because they naturally embed a fixed currency exchange rate in the swap contract.

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