8. (24 points) A bank holds a currency swap with the following information: 1) During the life of the swap, the bank pays a fixed rate of 5% (annually compounding) in JPY and receives USD LIBOR. Payments are exchanged every year. 2) Principals are USD 10 million and JPY 1200 million. 3) The swap has a remaining life of 1.5 years. 4) Current exchange rate is 110 JPY per USD. 5) The 6-month and 18-month JPY LIBORs are 4\% and 5\%, respectively; the 6-month and 18month USD LIBORs are 8% and 9%, respectively. 6) 12-month JPY LIBOR and USD LIBOR on last payment date were 4.5% and 8.5%, respectively. 7) All JPY LIBORs and USD LIBORs are compounded continuously. Compute the current value of the swap to the bank (expressed in USD) using both of the two methods discussed in class. Please show your work, and round to four decimal places (12 points for each method). 8. (24 points) A bank holds a currency swap with the following information: 1) During the life of the swap, the bank pays a fixed rate of 5% (annually compounding) in JPY and receives USD LIBOR. Payments are exchanged every year. 2) Principals are USD 10 million and JPY 1200 million. 3) The swap has a remaining life of 1.5 years. 4) Current exchange rate is 110 JPY per USD. 5) The 6-month and 18-month JPY LIBORs are 4\% and 5\%, respectively; the 6-month and 18month USD LIBORs are 8% and 9%, respectively. 6) 12-month JPY LIBOR and USD LIBOR on last payment date were 4.5% and 8.5%, respectively. 7) All JPY LIBORs and USD LIBORs are compounded continuously. Compute the current value of the swap to the bank (expressed in USD) using both of the two methods discussed in class. Please show your work, and round to four decimal places (12 points for each method)