Some time ago, a multinational company entered into a currency swap in which it pays 5.1% on $14 million USD and receives 4.5% on 10 million Euros, both rates are semi-annually compounded. There are three annual payments left, where the first payment is after one year from now, and the current exchange rate of the one Euro is $1.3 USD. If the USD OIS is 2.5% and Euro OIS is 3.5% (both are continuously compounded), what is the value of the swap in GBP to the company?
Some time ago, a multinational company entered into a currency swap in which it pays 5.1% on $14 million USD and receives 4.5% on 10 million Euros, both rates are semi-annually compounded. There are three annual payments left, where the first payment is after one year from now, and the current exchange rate of the one Euro is $1.3 USD. If the USD OIS is 2.5% and Euro OIS is 3.5% (both are continuously compounded), what is the value of the swap in GBP to the company?
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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Some time ago, a multinational company entered into a currency swap in which it pays 5.1% on $14 million USD and receives 4.5% on 10 million Euros, both rates are semi-annually compounded. There are three annual payments left, where the first payment is after one year from now, and the current exchange rate of the one Euro is $1.3 USD. If the USD OIS is 2.5% and Euro OIS is 3.5% (both are continuously compounded), what is the value of the swap in GBP to the company?
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