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% |
| EUR Amount | 10,000,000.00 |
| EUR Interest Rate | 5.00% |
| Spot Exchange Rate @ Inflation | $0.125000 |
| 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 |
| Remaining payments (calculated) | 6 |
| New Spot Exchange Rate | $1.30000 |
| New USD interest rate | 2.00% |
| New EUR interest rate | 2.50% |
| 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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Supply Chain Finance And Blockchain Technology The Case Of Reverse Securitisation
Authors: Erik Hofman, Urs Magnus Strewe, Nicola Bosia
1st Edition
3319623702, 978-3319623702
