Can you please help with this one:
Exam 2001/Q. 67
Currency Swap: A swaps 3% on 25mill. USD for 7.5% on 20mill. Sterling. USD rate - 4.25%, Sterlin rate - 7.75%. Exchange rate: 1.65 Sterling/USD. There are now 18 months remaining in the swap. Assume 6 months until the next annual coupon.
Answer is: -7,422,044 USD.
I'm not getting this answer though...
Thanks.
Exam 2001/Q. 67
Currency Swap: A swaps 3% on 25mill. USD for 7.5% on 20mill. Sterling. USD rate - 4.25%, Sterlin rate - 7.75%. Exchange rate: 1.65 Sterling/USD. There are now 18 months remaining in the swap. Assume 6 months until the next annual coupon.
Answer is: -7,422,044 USD.
I'm not getting this answer though...
Thanks.
