currency swap

payments, exchange, receive, currency

Pay USD fixed
receive AUD floating

Domestic notional USD10, 000,000
Foreign AUD 12,500,000

Present value fixed USD 1.025
Present value floating payments AUD 1.015

Current exchange rate USD.90/AUD

current value of the pay fixed USD receive AUD floating swap in US dollars is:

a. 1,000,000
b. 1,115,000
c.1.168,750

by the way anyone writting on SUNDAY( religious alternative day) from DC?

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发表于 2011-7-13 16:17 | 只看该作者

c?

1.025 x 10m usd = x

1.015 x 12.5m aud x 0.9 = y

x-y = -1,168,750

Is that right?

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defour44

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发表于 2011-7-13 16:17 | 只看该作者

b?

I am wrong the answer should be C.

Edited 1 time(s). Last edit at Monday, May 31, 2010 at 10:07AM by idreesz.

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WarrenB1

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发表于 2011-7-13 16:17 | 只看该作者

C)

Pay USD Fixed: 1.025 * 10,000,000 = 10,250,000

Receive AUD Floating = 1.015 * 12,500,000 * 0.9 = 11,418,750

So Current Value = 11,418,750-10,250,000=1,168,750

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