Question
PLease explain all steps taken to get to the answer: You signed a 15-year interest swap (principal USD 1,000,000) with annual payments to pay fixed
PLease explain all steps taken to get to the answer:
You signed a 15-year interest swap (principal USD 1,000,000) with annual payments to pay fixed USD and receive fixed EUR. The quotes are:
USD 5.1%-5.15%
EUR 10%- 10.05%
The spot rate at the time of the was USD 1.00/ EUR.
Two years later you want to unwind the swap. The USD interest rate is 4% and the EUR interest rate is also 4%. What is the value of the swap in USD if the spot rate is 0.99? (round to the nearest $)
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Crime And Punishment In The Future Internet
Authors: Sanja Milivojevic
1st Edition
036746800X, 978-0367468002
