What is the value of the swap to pay

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Question - Suppose GBP term structure Maturity time 5 years swap rate 7.5% Us term structure Maturity time 5 years swap rate 8.5%.

What is the value of the swap to pay 5 % GBP and receive 5% of us, on gbp principal for 5 years? Take the spot exchange rate GBP 1.0 to us 1.5. Assume that the principal amounts are swapped at maturity: GBP 100m for US 150. Also assume that interest payments of 2.5% of the principal are made semiannually, for the swap.

Reference no: EM132209240

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