Determine the value of swap for dollars and pounds floating

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Reference no: EM13925885

A U.S. corporation is considering entering into a currency swap that will call for the firm to pay dollars and receive British pounds. The dollar notional principal will be $35 million. The swap will call for semiannual payments using the adjustment 180/360. The exchange rate is $1.60. The term structures of dollar LIBOR and pound LIBOR are as follows:

Determine the value of the swap for each of the following cases:

i. Dollars fixed, pounds fixed

ii. Dollars fixed, pounds floating

iii. Dollars floating, pounds floating

iv. Dollars floating, pounds fixed

Days	Dollar LIBOR	Pound LIBOR
180	7.00%	6.50%
360	7.25	7.10
540	7.45	7.50
720	7.55	8.00

Reference no: EM13925885

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