Consider a two-year currency swap with semiannual payments. The domestic currency is the US$ and the foreign currency is UK pound. The current exchange rate is $1.41 per pound. The current US and UK term structures are as follows:

Spot ratesTermUS$ RatePound Rate180-day5.85%4.93%360-day6.05%5.05%540-day6.24%5.19%720-day6.65%5.51%

Now move forward 120 day. The new exchange rate is $1.35 per pound, and the new term structure is as follows:Spot ratesTermUS$ RatePound Rate60-day6.13%5.17%240-day6.29%5.32%420-day6.53%5.68%600-day6.97%5.83%

Assume that the notional principal is US$ 100,000.

Required

Calculate the market values of the following swaps:

a) Pay pound fixed and receive dollar fixed

b) Pay pound floating and receive dollar fixed

c) Pay pound floating and receive dollar floating

d) Pay pound fixed and receive dollar floating