Assume Carlton enters into a three-year fixed-for-fixed swap agreement to receive Swiss Franc and pay U.S. dollar annually, on a notional amount of $3,000,000. The spot exchange rate at the time of the swap is SF0.8/$. Assume that one year into the swap agreement Carlton decides it wishes to unwind the swap agreement and settle it in dollars. Assuming that a two-year fixed rate of interest on the Swiss Franc is now 2.59%, and a two-year fixed rate of interest on the dollar is now 5.90%, and the spot rate of exchange is now SF0.729/$. To Carlton, what is the net present value (in dollar) of the swap agreement? (Keep the sign and two decimal places.) Euro-€ Swiss franc U. S. dollar Japanese yen Years Bid Ask Bid Ask Bid Ask Bid Ask 2 3.08 3.12 1.68 1.76 5.43 5.46 0.45 0.49 3 3.25 3.29 2.12 2.17 5.54 5.59 0.56 0.59
Assume Carlton enters into a three-year fixed-for-fixed swap agreement to receive Swiss Franc and pay U.S. dollar annually, on a notional amount of $3,000,000. The spot exchange rate at the time of the swap is SF0.8/$. Assume that one year into the swap agreement Carlton decides it wishes to unwind the swap agreement and settle it in dollars. Assuming that a two-year fixed rate of interest on the Swiss Franc is now 2.59%, and a two-year fixed rate of interest on the dollar is now 5.90%, and the spot rate of exchange is now SF0.729/$. To Carlton, what is the
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|
Euro-€ |
Swiss franc |
U. S. dollar |
Japanese yen |
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|
Years |
Bid |
Ask |
Bid |
Ask |
Bid |
Ask |
Bid |
Ask |
|
2 |
3.08 |
3.12 |
1.68 |
1.76 |
5.43 |
5.46 |
0.45 |
0.49 |
|
3 |
3.25 |
3.29 |
2.12 |
2.17 |
5.54 |
5.59 |
0.56 |
0.59 |
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