Question about the first part of this Currency Swap Problem

CFA Level II
#21

CarloRoco, that was a good explanation and matched what I did, except for one point. I included a 90-day Eurobor discounted payment in the fixed payment. That threw my answer off a bit (ended with the answer being closer to -$75,000):

90dayeuribor >> 5.6% >>> .9862 = 1 / ( 1 + .056 (90/360))

Why wouldn’t this be included in the fixed payment? Do Eurobor only make semi-annual payments?

Thanks for the walk through.

#22

It’s a “quarterly payments 200 days ago” , that means there are two payments left, in 270 day and 360 day, (original there are four payments in 90 days, 180 days, 270 days, 360 days). Let we say, we are standing in the point “200 day”, the next two payments will be in 70 day after today, and 160 day after today. that’s why we are using “70 day euribor” and “160 day euribor”