implied exchange rate between usd and gbp , Financial Accounting

You have been provided with the following information on a fixed-fixed USD-GBP currency swap, the spot exchange rate between USD and GBP, and the USD and GBP yield curves:

  1. Five-year swap 5.5 per cent fixed coupon USD for 6.125 per cent fixed coupon GBP
  2. Notional principal of USD 15,000,000
  3. Spot exchange rate GBP 1 = USD 1.35
  4. Current discount yield curves USD 2.35 per cent flat, GBP 2.00 per cent flat.

(a) You wish to value the swap. What assumptions must you make to use the information that has been provided to you?

(b) What is the time zero value of the swap to the GBP receiver?

(c) What settlement payment will ensure fair value against the swap to both parties, and to whom must it be paid?

(d) What is the implied exchange rate between USD and GBP for the interest payments made under the swap? Should you expect this rate to match the current value of the exchange rate? Explain.

 

 

Posted Date: 3/28/2013 5:24:07 AM | Location : United States







Related Discussions:- implied exchange rate between usd and gbp , Assignment Help, Ask Question on implied exchange rate between usd and gbp , Get Answer, Expert's Help, implied exchange rate between usd and gbp Discussions

Write discussion on implied exchange rate between usd and gbp
Your posts are moderated
Related Questions
Change in profit sharing ratio When there is a change in profit sharing ratio, it means that some of the partners will get higher profits based on the new ratios in the future wh

a) A Treasury bond that matures in 10 years has a yield of 6%. A 10-year corporate bond has a yield of 8%. Suppose that the liquidity premium on the corporate bond is 0.4%. What is

what is the treatment of increase in allowance receivable.

Q. Evaluate Equivalent annual cost? There are a number of techniques to answering this question and two are presented. The first difficulty is in deciding which broad approach

wrote check to purchase law books for 2500 what 2 accounts


#question.how to account enginering cost

Q. Show Advantages of financial intermediation? The advantages of financial intermediation are as follows Investors are able to pool their funds in a bank deposit account to

Callable Preferred Stock On March 4, 2013, Hein Corporation issues 1,000 shares of $100 par preferred stock for $125 per share. The stock is not callable by the corporation until 3

Dillings Ltd is a wholesaler and distributor of catering of office equipment. The following list of balances was extracted from its books at 31 March 2004: 1428_Prepare the Income