Hi, I understand the Hong Kong side, but I can’t seem to wrap my head around the European side. Specifically, “Note that based on the exchange rate of HK$11.42 the actual notional principal = 1÷11.42 = €0.08757.” What I originally did was = (0.0058) × (0.9963 + 0.9888 + 0.9811 + 0.9650) + (1 × 0.9650) = 0.9878 Then multiply 0.9878 by 25,000,000 , then convert to HKD by multiplying it by the new exchange rate of 9.96. Man, I feel so retarded. Thanks!
I find it much easier to use the notional amounts than the per-dollar amounts when doing currency swaps. It lets your apply changing exchange rates way more intuitively.