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Problem in Swap question- Please help
Guys
Please solve this question
Yuya Takagi, CFO of a Japanese company, has plans to enter into Indian economy. He needs loan into INR currency. Apoorva Varma, an Indian entrepreneur wants to set up his company in Japan and wants YEN currency. They both decide to enter into a currency swap where Apoorva gets YEN in exchange of INR. They decide to swap a notional principal of 1 million INR for a year with quarterly coupon payments. The exchange rate at the time of swap initiation is 0.6615 INR per YEN. The swap is a pay fixed INR and receive floating YEN i.e. Yuya will have to pay fixed interest rate on INR and will receive floating interest rate payments on YEN.
The interest rates in India at the initiation of swap were as follows:
R (90-day) = 6.5%
R (180-day) = 7.0%
R (270-day) =7.5%
R (360-day) =8.0%
The comparable rates in Japan were:
R (90-day) = 5.5%
R (180-day) = 5.8%
R (270-day) =6.2%
R (360-day) =6.5%
After 150-days the interest rates in India were following:
R (30-day) = 7.2%
R (120-day) = 7.9%
R (210-day) =8.5%
And the comparable rates in Japan were:
R (30-day) = 6.0%
R (120-day) = 6.6%
R (210-day) =7.1%
The currency rate was 0.6510 INR/YEN after 150 days and the 90-day rates after 90 days were 7.0% and 5.8% in India and Japan respectively. At the end of 320 days the exchange rate was 0.6815 INR/YEN and the 40-day rate in India and Japan were 8.8% and 7.6% respectively. The 90-day rates after 270 days were 8.6% and 7.4% in India and Japan respectively.
1. What is the value of swap to Yuya after 150 days of the swap initiation?
(a) 8,607.90 YEN
(b) -8,607.90 YEN
(c) -24,471.6 YEN |
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发表于 2013-4-28 12:10
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