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?
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?
b? I am wrong the answer should be C.
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
C I think it’s better to see this q the way CFA has is, with beginning currencies/ending currencies, libor rates, etc
let me just post a swaps question and walk away for two hours 