Currency Swap, fixed rate use annualized or periodic rate?

CFA Level II Derivatives
#1

CFA session 14, reading 40, 4.2 currency swap contract Example 15

Example 15-3: Fixed swap annual payment in currency swap will be?

Annualized rfix AUD= 2.7695%,

but answer A$100,000,000(90/360)(0.027695) is periodic payment,

is this supposed to be annualized?

Example 16: The current value of the currency swap entered into 60 days ago will be?

Va= NAa(rfixa*∑pv+ pvn)- S0*NAb(rfixb∑pv+ pvn))=

= 100,000,000[0.027695(3.967683) + 0.986031] – 1.13(87,719,298)[0.002497(3.994841) + 0.998336]

Is bond valued supposed to be periodic coupon∑pv+ pvn,

how comes the answer using annualized rate?

Hope to get help from you guys? thx

#2

The information is a little vague: it says that the swap has quarterly resets, but fails to mention (explicitly) that it has quarterly payments.

It does.

The question is about the quarterly payments; they’re not annualized.

#3

In first question, they ask for fixed swap annual payments, but the answer is Periodic payment;

In second question, 300 days left, annualized fix payment X 3.967683 discount factor, it supposed to have 3 reset or 3 hypothesis periodic payment left. But annualized payment by almost 4 times, very confusing.

#4

#1: Check the errata: https://www.cfainstitute.org/Eratta/2017_level_II_errata.pdf

It’s supposed to be quarterly payments.

#2: There are four payments left, not 3.

#5

Thx for your help.

I read the errata, it is correct to use periodic payment, instead of annualized payment.

I did the CFA website online topic test, two question is the same as the example on CFA text book.

And the answer all use annualized payment, which should be periodic payment.