Question
PLEASE SOLVE IN EXCEL WITH FORMULAS: Find the value today of a 7-year old swap with 3 years remaining maturity. The swap calls for exchanging
PLEASE SOLVE IN EXCEL WITH FORMULAS:
Find the value today of a 7-year old swap with 3 years remaining maturity. The swap calls for exchanging interest only on 10m at 5 percent for $15m at 3 percent. SEMIANNUAL payments. The last payment was yesterday. Todays exchange rate is $1.30/ and the AAA rate in the U.S. is 2.0% and 2.5% in the euro zone.
| USD Amount | $15,000,000.00 | |
| USD Interest Rate | 3.00% | APR |
| EUR Amount | 10,000,000.00 | |
| EUR Interest Rate | 5.00% | APR |
| Spot Exchange Rate @ Inflation | $1.250000 | per EUR |
| Term | ||
| Years | 10.00 | |
| Payments/yr (choose) | Semi Annually | |
| Payments/yr (calculated) | 2 | |
| USD level interest payment | $300,000.00 | |
| EUR level interest payment | 250,000.00 | |
| Intermediate Time (less than initial swap maturity) | 7 | yrs |
| Remaining payments (calculated) | 6 | |
| New Spot Exchange Rate | $1.30000 | |
| New USD interest rate | 2.00% | APR |
| New EUR interest rate | 2.50% | APR |
| PV remaining USD payments | ||
| PV remaining EUR payments | ||
| USD value PV remaining EUR payments | ||
| USD swap value (to party paying USD) |
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American Public School Finance
Authors: William Owings, Leslie Kaplan
2nd Edition
1111838046, 978-1111838041
