Currency swap

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vitamin

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Just want to make sure, for currency swap, UNLESS it is stated that "payments are made in arrears", or something like "end-of-period payments are based on beginning of period interest rate", then I need to use the "beginning of period" rate. Otherwise, I should use the "end of period" interest rate. It is always the plain vanilla formula that I need to use the T-1 (LIBOR) rate.

Am I correct?

thank you!
 
in all cases, u need to use only "beginning of period" interest rate which is the one prevalent at the time when parties enter in to currency swap.

ya in plain vanila interest rate swap, if u are a floating rate payer then u need to use T-1 (LIBOR) rate.
 
Arrears is a case where the ending period is used, therefore payment is made a period end based upon period end reference value.
 
But on Schweser bk5, question #8 on p.188, the explanation of the question said payment is made in arrears and therefore, the ending rate of the previous period is used. THe question asked for payment at end of yr 2, and floating rate at the end of year 1 is used.

am I missing something here?
 
Vitamin - James explanation concured with the book - when arrears is enforced, the prior ending perioid interest rate is used.
 
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