Answer Happy

4. Consider a resetting notional XCCY swap with 1-year remaining to maturity that pays USD and receives AUD with USD notional amount of $10,000,000 and the XCCY basis spread of -0.40%. (18 marks]
(b) Compute the percentage change in value of the XCCY swap if the continuously compounded rates in the AUD rate curves are all increase by 10 basis points (0.1%), and complete the tables below:
Time Spot AUD/USD AUD notional AUD interest Net AUD notional NPV 0 0.25 0.5 0.75 1 Value USD leg in AUD AUD leg in AUD Swap NPV in AUD % change in swap NPV Provide interest rates as percentages and round all values to 6 decimal places. (5 marks]