What Is a Swap Spread?
Swap spread is the difference between the same foreign exchange buying and selling price for different delivery periods. There are three types of exchange rate spreads: spot-to-forward swaps, tomorrow-to-day swaps, and forward-to-forward swaps. Swap spreads represent the difference in interest rates between the two types of foreign exchange, and changes in interest rates will naturally change the structure of the swap exchange rate. But in some cases, it is the changes of the latter that affect the former. In the swap business, the cross-subtraction method is used to calculate the interest rate difference. [1]