In a fixed-for-fixed currency swap, 1.1% on a US dollar principal of $127 million is received and 1.7% on a British pound principal of 156 million pounds is paid. The current exchange rate is 1.7 dollar per pound. Interest rates in both countries for all maturities are currently 5.9% (continuously compounded. Payments are exchanged every year. The swap has 2.5 years left in its life. What is the value of the swap to the US dollar receiver, in millions of dollars?
In a fixed-for-fixed currency swap, 1.1% on a US dollar principal of $127 million is received and 1.7% on a British pound principal of 156 million pounds is paid. The current exchange rate is 1.7 dollar per pound. Interest rates in both countries for all maturities are currently 5.9% (continuously compounded. Payments are exchanged every year. The swap has 2.5 years left in its life. What is the value of the swap to the US dollar receiver, in millions of dollars?
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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In a fixed-for-fixed currency swap, 1.1% on a US dollar principal of $127 million is received and 1.7% on a British pound principal of 156 million pounds is paid. The current exchange rate is 1.7 dollar per pound. Interest rates in both countries for all maturities are
currently 5.9% (continuously compounded. Payments are exchanged every year. The swap has 2.5 years left in its life. What is the value of the swap to the US dollar receiver, in millions of dollars?
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