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?
| USD Don't use plagiarized sources. Get Your Custom Essay on you have previously entered a currency swap to receive fixed rate us dollars at 8 an 600444 Get an essay WRITTEN FOR YOU, Plagiarism free, and by an EXPERT! Just from $10/Page | SEK | |
| 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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