SCENARIO 4: VALUE A CURRENCY SWAP [10 MARKS] 70 days ago, the mutual fund entered into two-year currency swap by agreeing to swap US dollars for euros at the fixed rates. The annualised fixed rate in dollars and euros are 7.25% and 7.1%, respectively. The exchange rate at the start of the swap was $0.78. The new exchange rate today is $0.55. Assume that the notional dollar amount is $25,000,000. The payments are made annually based on the assumption of 30 days per month and 360 days in a year. The adjustment Current LIBOR and Euribor rates are shown in Exhibit 5. Term LIBOR (%) Euribor (%) 5.5 290 days 7.4 650 days 7.8 6.0 Exhibit 5: Current LIBOR and Euribor rates Task 4: Your task is to determine the market value of the swap today from the counterparty's perspective, which pays euros and receives dollars. [10 marks] SCENARIO 4: VALUE A CURRENCY SWAP [10 MARKS] 70 days ago, the mutual fund entered into two-year currency swap by agreeing to swap US dollars for euros at the fixed rates. The annualised fixed rate in dollars and euros are 7.25% and 7.1%, respectively. The exchange rate at the start of the swap was $0.78. The new exchange rate today is $0.55. Assume that the notional dollar amount is $25,000,000. The payments are made annually based on the assumption of 30 days per month and 360 days in a year. The adjustment Current LIBOR and Euribor rates are shown in Exhibit 5. Term LIBOR (%) Euribor (%) 5.5 290 days 7.4 650 days 7.8 6.0 Exhibit 5: Current LIBOR and Euribor rates Task 4: Your task is to determine the market value of the swap today from the counterparty's perspective, which pays euros and receives dollars. [10 marks]