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4 - year currency swap agreement You receive USD, your counterparty receives EUR Notional amount is 1 0 million USD Spot USD per EUR rate

4 -

year currency swap agreement

You receive USD, your counterparty receives EUR

Notional amount is

10

million USD

Spot USD per EUR rate is

1.23

Annual interest rate is

1 %

for USD and

2 %

for EUR

Suppose after

2

years, spot FX rate is

1.25

What is the value of this FX swap contract?

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