You have previously entered a currency swap to receive fixed-rate US dollars at 8% (annually, 30/360 basis) based on USD 10 million (with USD 10 million received at maturity) and pay floating-rate Swedish kronor at LIBOR (semi-annually, ACT/360 basis) based on SEK 75 million (with SEK 75 million paid at maturity). The swap terminates on 24 May 2011. It is now February 2010 and the spot USD/SEK exchange rate is 7.6500. The last krona LIBOR fixing was 5.3% for 24 November 2009. The discount factors to the remaining payment dates are as follows. What is the mark-to-market value of the swap now in dollars?
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you have previously entered a currency swap to receive fixed rate us dollars at 8 an 600444
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SEK |
|
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24 May 2010: |
0.9850 |
0.9880 |
|
24 November 2010: |
0.9580 |
0.9650 |
|
24 May 2011: |
0.9300 |
0.9400 |
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