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Assume a 4-year AUD fixed rate versus USD 3-month Libor currency swaps are quoted at 2.38% (bid), 2.42% (ask). If the fixed rate is paid
Assume a 4-year AUD fixed rate versus USD 3-month Libor currency swaps are quoted at 2.38% (bid), 2.42% (ask). If the fixed rate is paid semi-annually and the net present value of this bid/ask spread on a AUD 200 million (notional amount) currency swap is closest to: A. AUD 150,900 B. AUD 288,000 C. AUD 301,700 D. AUD 303,400
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