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Company A makes annual USD payments of 6% on a notional of USD 2,265,000. Company A receives annual GBP payments of 7% on a notional
Company A makes annual USD payments of 6% on a notional of USD 2,265,000. Company A receives annual GBP payments of 7% on a notional of GBP 1,500,000. Assume that the USD and GBP interest rates are rUSD = 3% and rGBP = 6%. The swap currently has 4 years until it matures. The next cash flow exchange will occur one year from today. If the current USD/GBP spot rate XNUSD/GBP = 1.39.
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SOLUTION To value the currency swap for Company A we need to calculate the present value of the cash ...
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Financial Accounting An Introduction to Concepts, Methods and Uses
Authors: Roman L. Weil, Katherine Schipper, Jennifer Francis
14th edition
978-1111823450, 1-133-36617-1 , 1111823456, 978-1-133-3661, 978-1133591023
