A financial institution has entered into a 10-year currency swap with company Y. Under the terms of the swap, the financial institution receives interest at 3% per annum in Swiss francs and pays interest at 8% per annum in U.S. dollars. Interest payments are exchanged once a year. The principal amounts are 7 million dollars and 10 million francs. Suppose that company Y declares bankruptcy at the end of year 6 just before the exchange of 6th payment, when the exchange rate is $0.80 per franc. Assume that, at the end of year 6, the risk-free interest rate is 3% per annum in Swiss francs and 8% per annum in U.S. dollars for all maturities. All interest rates are quoted with annual compounding. Assume that the theoretical forward exchange rates can be realized. Also assume there are 360 days in a year. Required: What is the cost of losing the swap contract due to the bankruptcy at the end of year 6 to the financial institution in U.S. dollars? That is, calculate the value of the swap contract to the financial institution at the end of year 6. You may calculate the value either in terms of the underlying bonds or of the corresponding FRAS. A financial institution has entered into a 10-year currency swap with company Y. Under the terms of the swap, the financial institution receives interest at 3% per annum in Swiss francs and pays interest at 8% per annum in U.S. dollars. Interest payments are exchanged once a year. The principal amounts are 7 million dollars and 10 million francs. Suppose that company Y declares bankruptcy at the end of year 6 just before the exchange of 6th payment, when the exchange rate is $0.80 per franc. Assume that, at the end of year 6, the risk-free interest rate is 3% per annum in Swiss francs and 8% per annum in U.S. dollars for all maturities. All interest rates are quoted with annual compounding. Assume that the theoretical forward exchange rates can be realized. Also assume there are 360 days in a year. Required: What is the cost of losing the swap contract due to the bankruptcy at the end of year 6 to the financial institution in U.S. dollars? That is, calculate the value of the swap contract to the financial institution at the end of year 6. You may calculate the value either in terms of the underlying bonds or of the corresponding FRAS