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Swap Valuation Example .A currency swap has a remaining life of 18 months. It involves exchanging interest at 14% on 20 million for interest at
Swap Valuation Example .A currency swap has a remaining life of 18 months. It involves exchanging interest at 14% on 20 million for interest at 10% on $30 million once a year. .The term structure of interest rates is currently flat in both the U.S. and the U.K. If the swap were negotiated today, the interest rates exchanged would be $8% and 11%. All rates were quoted with annual compounding The current exchange rate is $1.65 = 1. What is the value of the swap (in USD) to the party paying dollars
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