CrazyBananas Inc. has short GBP position with notional of GBP 800,000. The spot rate at time...
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CrazyBananas Inc. has short GBP position with notional of GBP 800,000. The spot rate at time of origin was XUSD/GBP = 1.44. The spot rate at time of valuation (now) is XVSD/GBP = 1.41. The coupon rates are 8% for the GBP side and 6% for the USD side. The discount rates are: 1GBP = 4% and USD = 3%. The swap will mature in 3 years from now. What is the swap's mark-to-market value? CrazyBananas Inc. has short GBP position with notional of GBP 800,000. The spot rate at time of origin was XUSD/GBP = 1.44. The spot rate at time of valuation (now) is XVSD/GBP = 1.41. The coupon rates are 8% for the GBP side and 6% for the USD side. The discount rates are: 1GBP = 4% and USD = 3%. The swap will mature in 3 years from now. What is the swap's mark-to-market value?
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Answer rating: 100% (QA)
ANS WER The mark to market value of the swap is GB P 12 8 57 WOR... View the full answer
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