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The USD interest rate is 8% per annum and the sterling rate is 11% per annum. The current value of the sterling is 1.5 USD.
The USD interest rate is 8% per annum and the sterling rate is 11% per annum. The
current value of the sterling is 1.5 USD. Under the terms of a swap agreement, a
financial institution pays 8% per annum in USD and receives 11% per annum in
sterling. The principals in the two currencies are $15 million USD and 10 million
sterling. Payments are exchanged every year. The swap will last 3 more vars. What
is the value of the swap to the financial institution? Assume all interest rates are
continuously compounded.
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Portfolio Performance Measurement And Benchmarking
Authors: Jon Christopherson, David Carino, Wayne Ferson
1st Edition
