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You entered a swap to pay the 3-month USD Libor and receive the 3-month EUR Libor. The notional amount of the swap (face value) is
You entered a swap to pay the 3-month USD Libor and receive the 3-month EUR Libor. The notional amount of the swap (face value) is $10M. At the time, the spot rate was $1.05/EUR, the 3-month USD Libor was 2.35%, and the 3-month EUR Libor was 1.78%. What is the value of the swap in USD today if the spot rate is $1.15/EUR, the 3-month USD Libor is 0.25%, and the 3-month EUR Libor is -0.58%. Please assume that we are valuing the swap on the reset date. Round to the nearest US cent (2 decimal places). You entered a swap to pay the 3-month USD Libor and receive the 3-month EUR Libor. The notional amount of the swap (face value) is $10M. At the time, the spot rate was $1.05/EUR, the 3-month USD Libor was 2.35%, and the 3-month EUR Libor was 1.78%. What is the value of the swap in USD today if the spot rate is $1.15/EUR, the 3-month USD Libor is 0.25%, and the 3-month EUR Libor is -0.58%. Please assume that we are valuing the swap on the reset date. Round to the nearest US cent (2 decimal places)
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