implied exchange rate between usd and gbp , Financial Accounting

Assignment Help:

You have been provided with the following information on a fixed-fixed USD-GBP currency swap, the spot exchange rate between USD and GBP, and the USD and GBP yield curves:

  1. Five-year swap 5.5 per cent fixed coupon USD for 6.125 per cent fixed coupon GBP
  2. Notional principal of USD 15,000,000
  3. Spot exchange rate GBP 1 = USD 1.35
  4. Current discount yield curves USD 2.35 per cent flat, GBP 2.00 per cent flat.

(a) You wish to value the swap. What assumptions must you make to use the information that has been provided to you?

(b) What is the time zero value of the swap to the GBP receiver?

(c) What settlement payment will ensure fair value against the swap to both parties, and to whom must it be paid?

(d) What is the implied exchange rate between USD and GBP for the interest payments made under the swap? Should you expect this rate to match the current value of the exchange rate? Explain.

 

 


Related Discussions:- implied exchange rate between usd and gbp

Personal representatives duties-executorship law, Personal representatives ...

Personal representatives duties Personal representation has the following duties; 1) To provide and pay out of the estate of the deceased, the expenses of a reasonable funeral

Prepare an investment plan, Question: Mada Air Ltd is thinking of diver...

Question: Mada Air Ltd is thinking of diversifying its activities in order to cope with the financial crisis. After careful evaluation its research and development team has pro

Maintaining a fixed interest rate, During summer of 2006, China increased t...

During summer of 2006, China increased their reserve requirement for the banking system while maintaining a fixed target for the interbank lending interest rate. Draw a graph of th

Accounting standards in the united states, Which of the following was the f...

Which of the following was the first private sector entity that set accounting standards in the United States? a. Accounting Principles Board b. Committee on Acocounting Procedure

Calculate and graph the average annual returns , This is an individual asse...

This is an individual assessment contributing 50% of your marks for the module. The assignment is intended to help you develop skills of implementing financial models in Excel. The

Looking for income statement and balance sheet, Looking for Income Statemen...

Looking for Income Statement and Balance Sheet for the Better USA, Inc. company for 2010 and 2011 Facts: Sales 11,573 (2010) and 12,936 (2011) - Depreciation 1,661 and 1,736 - Cost

What would be the balance in the paid-in capital, Horton Co. was organized ...

Horton Co. was organized on January 2, 2010, with 500,000 authorized shares of $10 par value common stock. During 2010, Horton had the following capital transactions: January 5-iss

Indian company, content of financial statement with refrence to indian comp...

content of financial statement with refrence to indian company

Show the calculations and journal entries to record, Company A subsequently...

Company A subsequently sells 60% of the voting interest in Company S for $900,000. The fair value of Company A's retained interest of 10% in the voting stock in Company S is $120,0

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd