A bank is party to a currency swap where it pays 8% per year in dollars on a principal of $80 million, and receives 5% per year in euros on a principal of 70 million. Interest payments are annual, and principals are exchanged at the maturity date of the swap, in 2.1 years.

The current exchange rate is $1.16 per euro. Dollar and euro interest rates are given below for various maturities (with continuous compounding):

A bank is party to a currency swap where it pays 8% per year in dollars on a principal of $80 million, and receives 5% per year in euros on a principal of 70 million. Interest payments are annual, and principals are exchanged at the maturity date of the swap, in 2.1 years. The current exchange rate is $1.16 per euro. Dollar and euro interest rates are given below for various maturities (with continuous compounding): What is the forward exchange rate in 2.1 years (with continuous compounding)? Correct F0=Se(rrf)T=1.16e(0.0640.029)2.1=1.248 Part 2 Attempt 2/4 for 10pts What is the net cash flow to the bank in 0.1 years (in $ million) before discounting? What is the value of the currency swap to the bank (in $ million)? A bank is party to a currency swap where it pays 8% per year in dollars on a principal of $80 million, and receives 5% per year in euros on a principal of 70 million. Interest payments are annual, and principals are exchanged at the maturity date of the swap, in 2.1 years. The current exchange rate is $1.16 per euro. Dollar and euro interest rates are given below for various maturities (with continuous compounding): What is the forward exchange rate in 2.1 years (with continuous compounding)? Correct F0=Se(rrf)T=1.16e(0.0640.029)2.1=1.248 Part 2 Attempt 2/4 for 10pts What is the net cash flow to the bank in 0.1 years (in $ million) before discounting? What is the value of the currency swap to the bank (in $ million)