You want to enter a 4-year, annual payment bond swap to pay USD and receive GBP on a notional amount of $20 million. The spot exchange rate is 1.30 USD/GBP. The UK interest rate is 3.5%, and the US rate is 2.4%.

a. Build a table showing the 4 years of cash flows.

b. What is your expectation of the one-year forward rate using international parity conditions?

c. What is the value of the swap one year from now?