4. It is January 1, 2022. A bank has five more years remaining in a currency swap according to which it receives interes

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4 It Is January 1 2022 A Bank Has Five More Years Remaining In A Currency Swap According To Which It Receives Interes 1 (20.83 KiB) Viewed 9 times

4. It is January 1, 2022. A bank has five more years remaining in a currency swap according to which it receives interest at the end of each year at an effective annual rate of 2.4% on a USD20,000,000 principal and pays interest at the end of each year at an effective annual rate of 2.6% on a CAD25,000,000 principal. The current USDCAD exchange rate is 1.25, compute the value of this currency swap for the bank based on the risk-free zero yields given below in continuously compounded form. 3 year 4 year 1 year 2.00% 2 year 2.50% 5 year USD 2.60% 2.65% 2.70% CAD 2.50% 2.55% 2.55% 2.60% 2.65%