90 days ago the exchange rate for the Canadian dollar (C$) was 0.83 and the term structure was: 180 days 360 days LIBOR 5.6% 6% CDN 4.8% 5.4%. A swap was initiated with payments of 5.3% fixed in C and floating rate payments in USD on a notional principal of USD 1 million with semiannual payments. 90 days have passed, the exchange rate for C$ is $0.84 and the yield curve is: 90 days 270 days LIBOR 5.2% 5.6% CDN 4.8% 5.4% What is the value of the swap to the floating-rate payer? A) −$2,708. B) $3,472. C) $10,125. D) −$3,472.
getting 8722
am i right ?
C.