Someone PLEASE help me to understand question #10, I can’t get the right answer even with the answer key. Per HK$1 of notional principal the PV of the fixed payments revecied on the Hong Kong dollar = (0.0046) x (0.9976+… How does one get 0.0046? I get 0.0083, what am I doing wrong? Thanks!
You have to use Hibor rates to get the periodic fixed rate. 1/(1+0.0122(90/360)) = 0.99696 1/(1+0.153(180/360)) = 0.9924 1/(1+0.017(270/360)) = 0.9874 1/(1+0.187(360/360)) = 0.98164 1-last PV/sum of PVs = 0.00464