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You are given the following term structure of interest rates for the dollar and the euro: Term (days) $ Rate (r) Rate (r) 180 2.50%
You are given the following term structure of interest rates for the dollar and the euro: Term (days) $ Rate (r) Rate (r) 180 2.50% 6.80% 360 2.60% 6.60% 540 2.80% 6.40% 720 3.00% 6.20% The notional principal is $100m and the spot rate (So) = $1.25/. Assume you receive the $ fixed rate and pay the fixed rate. If the Dollar fixed rate (C$) = 1.4642%/180 days (Quoted C$ = 2.9284%) and the Euro fixed rate (CS) = 2.9752%/180 days (Quoted CE = 5.9504%). What is the fixed $ payment every 180 days? $1,464,200 $2,975,200 $5,950,400 $2,928,400
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