Laudrup is aiming to defeat Bradford City at Wembley for what would be the highlight of a hugely impressive debut season in England that has also seen him take Swansea into the top half of the table.
The Dane's managerial exploits have not gone unnoticed and a poll on the website of Spanish paper AS found that 72 per cent of respondents wanted to see him appointed Madrid manager next season.
Laurdrup represented Madrid between 1994 and 1996, winning one La Liga title, but says his only focus is on securing the first major silverware in Swansea's history.
"It's not the moment to talk about the future," said Laudrup.
"We're three days away from one of the biggest games in the history of this club, so to speak about other things would be a little ruthless in this moment. So let's focus on the big thing."
Laudrup is hoping to complete a trio of landmark victories at Wembley this Sunday.
The Swansea manager will lead his side out against League Two Bradford, having previously played a part in two historic triumphs at the home of English football. In 1983, Laudrup was part of the first Denmark side to taste victory over England and he was also a member of the Barcelona team who won the European Cup at the old stadium in 1992.
A Swansea victory on Sunday would see the Welsh club secure the first major trophy in their centenary season, and Laudrup said: "I had two very good days at Wembley, although that was the old ground."
He added: "In 1983 Denmark won 1-0 against England with a penalty from Allan Simonsen and we qualified instead of England for the European Championship in 1984.
"In May 1992, in the final of the European Cup, we (Barcelona) won after extra-time 1-0 against Sampdoria, who had Roberto Mancini and Gianluca Vialli on their side.
"They were two huge results and I hope Sunday will be the third."
Laudrup has enjoyed a superb first season in charge of the Swans, guiding them to a position in the top half of the Premier League table as well as Sunday's final.
Laudrup places his managerial abilities down to learning from those he played under, and there were none as influential as the man in charge for Barcelona's night of Wembley glory: Johan Cruyff.
"On the pitch everyone knows my five years with Cruyff in Barcelona were great years, there are a lot of things from the training I did with him that I am using now," he said.