Putting foreign cash in Swedish bank account (Stockholm)

Hi there,

I just moved to Sweden from Denmark a few weeks ago and now I have some Danish krona in cash.

I was suggested to exchange the cash into SEK at Forex the go to the bank and deposit the money.

I wonder if anyone here has been similar situation and could suggest a more cost/time efficient solution? I am mainly concerned about the unfavorable exchange rate when proceeding with cash.

Thanks in advance!