FX Swaps

FX Swap is a simultaneous purchase and sale of identical amounts of one currency for another with two different value dates (normally spot to forward).

Wikipedia on Foreign Exchange Swap (link).

DECAF does not currently provide a machinery to capture FX Swap trades directly.

However, an FX Swap is indeed a Spot FX transaction plus an FX Forward transaction. Therefore, capturing an FX Swap is as simple as:

1. Create in a Spot FX Trade for the Near Leg.
2. Create an FX Forward Contract instrument for the Far Leg.
3. Create an FX Forward Trade with the instrument you created in the Step 2 for the Far Leg.

When the delivery date arrives, just use FX Forward Delivery as you would use normally.

For further details about FX Swaps and how they are accounted, please see below:

• Accounting for FX swaps, forwards and repurchase agreements: a simple analysis from BIS Quarterly Review (September 2017)
• The basic mechanics of FX swaps and cross-currency basis swaps from BIS Quarterly Review (March 2008)