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Example 7-7 Japanese rate U.S. rate 4% c.c. 8% c.c. Swap receive Principal 5% yen 1,200,000,000 pay Principal 8% USD $10,000,000 Maturity 3 years Exchange
Example 7-7 Japanese rate U.S. rate 4% c.c. 8% c.c. Swap receive Principal 5% yen 1,200,000,000 pay Principal 8% USD $10,000,000 Maturity 3 years Exchange rate 110 per 0.009091 per $1 1.0 Time Cash Flow on Bond (S mil) PV ($ mil) Cash Flow on #bond mil) PV ( mil) Total PV in $ Value of the swap Example 7-7 Japanese rate U.S. rate 4% c.c. 8% c.c. Swap receive Principal 5% yen 1,200,000,000 pay Principal 8% USD $10,000,000 Maturity 3 years Exchange rate 110 per 0.009091 per $1 1.0 Time Cash Flow on Bond (S mil) PV ($ mil) Cash Flow on #bond mil) PV ( mil) Total PV in $ Value of the swap Example 7-7 Japanese rate U.S. rate 4% c.c. 8% c.c. Swap receive Principal 5% yen 1,200,000,000 pay Principal 8% USD $10,000,000 Maturity 3 years Exchange rate 110 per 0.009091 per $1 1.0 Time Cash Flow on Bond (S mil) PV ($ mil) Cash Flow on #bond mil) PV ( mil) Total PV in $ Value of the swap Example 7-7 Japanese rate U.S. rate 4% c.c. 8% c.c. Swap receive Principal 5% yen 1,200,000,000 pay Principal 8% USD $10,000,000 Maturity 3 years Exchange rate 110 per 0.009091 per $1 1.0 Time Cash Flow on Bond (S mil) PV ($ mil) Cash Flow on #bond mil) PV ( mil) Total PV in $ Value of the swap
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