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Some time ago, a multinational company entered into a currency swap in which it pays 5.9% on $14 million USD and receives 3.7% on 10
Some time ago, a multinational company entered into a currency swap in which it pays 5.9% on $14 million USD and receives 3.7% on 10 million Euros, both rates are semi-annually compounded. There are three annual payments left, where the first payment is after one year from now, and the current exchange rate of the one Euro is $1.2 USD. If the USD OIS is 2.5% and Euro OIS is 3.5% (both are continuously compounded), what is the value of the swap in GBP to the company? (Write your answer in terms of millions and round to 2 digits. E.g. 10.85 Million) Some time ago, a multinational company entered into a currency swap in which it pays 5.9% on $14 million USD and receives 3.7% on 10 million Euros, both rates are semi-annually compounded. There are three annual payments left, where the first payment is after one year from now, and the current exchange rate of the one Euro is $1.2 USD. If the USD OIS is 2.5% and Euro OIS is 3.5% (both are continuously compounded), what is the value of the swap in GBP to the company? (Write your answer in terms of millions and round to 2 digits. E.g. 10.85 Million)
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