Exchange of payments that takes place at the end of the swap

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Reference no: EM131445427

A U.S. company enters into a currency swap in which it pays a fixed rate of 5.5 percent in euros and the counterparty pays a fixed rate of 6.75 percent in dollars. The notional principals are $100 million and €116.5 million. Payments are made semiannually and on the basis of 30 days per month and 360 days per year.

1. Calculate the initial exchange of payments that takes place at the beginning of the swap.

2. Calculate the semiannual payments.

3. Calculate the final exchange of payments that takes place at the end of the swap.

Reference no: EM131445427

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