A three-year fixed-rate currency swap involves two AAA borrowers with EUR 100 million to be swapped against NZD 200 million and has been set at current market interest rates. The spot exchange rate is 1 EUR = 2.00 NZD. The yield curves in EUR and NZD are both flat with interest rates at 1% in Euros and 3% in New Zealand dollars, respectively. Interest coupons are swapped once a year. Assume that, a year later, the yield curves in EUR and NZD both remain flat and that interest rates have risen to 2% in Euros and 4% in New Zealand dollars, and the spot exchange rate has changed to 1 EUR = 1.80 NZD. (a) What is the new value of the swap (in EUR) a year later to the party that receives EUR and pays NZD? (4 marks) (b) What is the new value of the swap (in NZD) to the party that receives NZD and pays EUR? (1 mark)