The below question comes from the Kaplan Schweser question bank. I see the answer provided and how they got there, but the process seems not at all logical or elegant. I would love to see an alternative calculation method.
Consider a fixed-for-fixed 1-year $100,000 semiannual currency swap with rates of 5.0% in USD and 4.8% in CHF, originated when the exchange rate is $0.34. After the first settlement, the exchange rate is $0.35 and the term structure is: