e ) Establish the formulas for valuation of a currency swap in terms of the bond portfolio and

FRA. From the following information, calculate the value of this swap in terms of FRA:

A financial institution entered into an annual payment swap whereby it receives 5.2% in yen and pays 8.4% in US dollars. Spot exchange rate: 111V/S; the LIBOR/Swap term structure is flat: US interest rate: 9.2%, Japanese interest rate: 4.3%; main: 10.75 million US and 1.23 billion yen; the remaining life is 4 years.