Years 2 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 $6,000,000. The spot exchange rate at the time of the swap is SFO.8/$. 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 SFO.0.810/$. To Carlton, what is the net present value (in dollar) of the swap agreement? (Keep the sign and two decimal places.) 3 Euro-€ Bid 3.08 3.25 Swiss franc Ask Bid 3.12 Ask U.S. dollar 3.29 2.12 2.17 Bid 1.68 1.76 5.43 5.54 Ask 5.46 Japanese yen Bid Ask 0.45 0.49 5.59 0.56 0.59
Years 2 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 $6,000,000. The spot exchange rate at the time of the swap is SFO.8/$. 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 SFO.0.810/$. To Carlton, what is the net present value (in dollar) of the swap agreement? (Keep the sign and two decimal places.) 3 Euro-€ Bid 3.08 3.25 Swiss franc Ask Bid 3.12 Ask U.S. dollar 3.29 2.12 2.17 Bid 1.68 1.76 5.43 5.54 Ask 5.46 Japanese yen Bid Ask 0.45 0.49 5.59 0.56 0.59
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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Transcribed Image Text:2
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 $6,000,000. The spot exchange rate at
the time of the swap is SFO.8/$. 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 SFO.0.810/$. To
Carlton, what is the net present value (in dollar) of the swap agreement? (Keep the sign and
two decimal places.)
3
Euro-€
Years Bid Ask Bid Ask
Swiss franc
3.08 3.12
1.68 1.76
3.25 3.29 2.12 2.17
U.S. dollar
Bid Ask
5.43
5.46
Japanese yen
Bid
0.45
5.54 5.59 0.56
Ask
0.49
0.59
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