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2 . A particular currency swap involves one party paying a domestic rate of 3 . 4 5 % on a domestic notional principal of
A particular currency swap involves one party paying a domestic rate of on a domestic notional principal of $ million to a second party and that party paying a foreign rate on a foreign notional principal of million. The spot exchange rate is $ per euro. There are years until the next payment date and over the remaining life of the currency swap an additional five payments will be made every months thereafter. Domestic discount rates with maturities corresponding to the six remaining payment dates are: and respectively. Foreign discount rates with maturities corresponding to the six remaining payment dates are: and respectively. What is the value of the currency swap to the party that receives the foreign payment and pays the domestic payment? What is the value of the same currency swap to the party that receives domestic and pays foreign?
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