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It is January 1st, 2020. A bank has five more years remaining in a currency swap according to which it makes annual interest payments at
It is January 1st, 2020. A bank has five more years remaining in a currency swap according to which it makes annual interest payments at the end of each year at an effective annual rate of 4% on a 10,000,000USD principal and receives annual interest payments at the end of each year at an effective annual rate of 5% on a 13,500,000CAD principal. The current USDCAD exchange rate is 1.35, compute the value of this currency swap for the bank based on the risk-free zero yields given below in continuously compounded form
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