What is the value of the swap to party paying sterling

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Reference no: EM132055126

A currency swap has a remaining life of 5 months. It involves exchanging interest at 10% on £20 million for interest at 6% on $30 million once a year. If the swap were negotiated today the interest rates exchanged would be 5% in dollars and 8% in sterling. All interest rates are quoted with annual compounding. The current exchange rate (dollars per pound sterling) is 1.8500. What is the value of the swap to the party paying sterling? What is the value of the swap to the party paying dollars?

Reference no: EM132055126

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