What is the value of the swap in usd to the party paying

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Reference no: EM133491789

Case: A 3-year currency swap has a remaining life of 26 months.

It involves exchanging interest at 10% on £25 million for interest at 8% on $35 million once a year.

The term structure of interest rates is currently flat in both the U.S. and the U.K. If the swap were negotiated today, the interest rates exchanged would be $7% and £10%. All rates were quoted with annual compounding. The current exchange rate is $2 = £1.

What is the value of the swap in USD to the party paying dollars?

Reference no: EM133491789

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