CFAI Mock Morning #10 Currency Swap
Can someone explain how the PV factors were calculated on this problem. Since it is a fixed for fixed swap the rates don’t change 45 days later correct?
I came up with the fixed rate of 0.046 but I did not get the correct PV factors for the 45 days later e.g. the (.9976 + .9909 + .9834 + .9674).
For example for the .9674 I came up with 1 / 1 + (.0184 X (315/360)) = .98415
Does anyone see what I did wrong? Thanks |