Gold Swap Valuation & Risk Analysis
The sub-topic Gold Swaps focuses on a common financial product: gold swaps. Central banks in developing countries use gold swaps to secure short-term foreign currency liquidity. Furthermore, gold swaps serve to hedge against gold price risks, finance gold-based structures, capitalize on interest rate differentials, and utilize gold as an investment asset.
The Documents & Materials section contains a mathematical description of a valuation and risk calculator for gold swaps.
Specifically, the following elements are covered:
- Gold lease rate
- Present value of the gold leg
- Sensitivities for gold swaps
- Value-at-Risk calculation for gold swaps