Assume Carlton enters into a three-year fixed-for-fixed swap agreement to receive Swiss Franc and pay U.S. dollar annual

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Assume Carlton Enters Into A Three Year Fixed For Fixed Swap Agreement To Receive Swiss Franc And Pay U S Dollar Annual 1 (52.73 KiB) Viewed 11 times

Assume Carlton enters into a three-year fixed-for-fixed swap agreement to receive Swiss Franc and pay U.S. dollar annually, on a notional amount of $2,000,000. The spot exchange rate at the time of the swap is SFO.8/$. Assume that one year into the swap agreement Carlton decides it wishes to unwind the swap agreement and settle it in dollars. Assuming that a two-year fixed rate of interest on the Swiss Franc is now 2.59%, and a two-year fixed rate of interest on the dollar is now 5.90%, and the spot rate of exchange is now SF0.76/$. To Carlton, what is the net present value (in dollar) of the swap agreement? (Keep the sign and two decimal numbers.) Euro-€ Years Bid 3.08 3.25 2 3 Swiss franc Ask Bid Ask 3.12 1.68 1.76 3.29 2.12 2.17 U. S. dollar Japanese yen Ask Bid Ask 5.43 5.46 0.45 0.49 5.54 5.59 0.56 0.59 Bid