currency swap payments, exchange, receive, currency

hoangvu90

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?

ppls

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?

defour44

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.

WarrenB1

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

CP

mp3bu

C

I think it's better to see this q the way CFA has is, with beginning currencies/ending currencies, libor rates, etc

Houjichasan

let me just post a swaps question and walk away for two hours :-)