Question
Swap A: ALTECO pays 3% p.a. on a principal of US$450m and receives 4% p.a. on a principal of 250 million. Cash flows are exchanged
Swap A:
ALTECO pays 3% p.a. on a principal of US$450m and receives 4% p.a. on a principal of 250 million. Cash flows are exchanged semi-annually and it is exactly six months to the next swap payment date. The swap has eighteen months to run.
The current exchange rate for sterling is 1 = US$1.60 and the LIBOR/swap term structures in the UK and US are as follows (all rates continuously compounded):
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Financial and Management Accounting
Authors: Pauline Weetman
7th edition
1292086599, 978-1292086590
