Consider a currency swap in which 2% is received in pound sterling on a principal of GBP 70 million and 5% is paid in dollars on a principal of USD 90 million (GBP is a symbol for pound sterling) . Payments are made annually. The swap will last 2 years with first exchange a year from today. The current exchange rate is USD 1.2 per GBP. The risk-free interest rates for GBP is 2% per annum continuously compounded. The risk-free interest rates for USD is 3% per annum continuously compounded. What is the value of the swap?