Calculate the value of the swap on day

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Reference no: EM132172338

Question - Consider a 1-year LIBOR swap with quarterly payments and notional amount of USD 10 million. At initiation the exchange rate was Euro 1.5 per USD. You have been provided the following LIBOR spot rates at initiation for dollar and Euros.

	Dollars Rate	Euros Rate
90-day	4.0%	5.0%
180-day	4.5%	6.0%
270-day	5.0%	7.0%
360-day	5.5%	8.0%

After 200 days, the 70-day and 160-day USD interest rates are 6.4% and 7.1%. The 70-day and 160-day Euro interest rates are 7.6% and 8.1%. The exchange rate is Euro 1.8 per USD. The 90- day USD and Euro interest rates on the last settlement date were 6% and 7% respectively.

Required - If you pay USD floating and receive Euro fixed, calculate the value of the swap on day 200.

Reference no: EM132172338

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