An importing company enters into an FX Swap, which involves purchasing USD 1.1 million on the spot at an agreed EUR/USD rate of 0.9518 and selling the same amount in six months' time at the forward EUR/USD rate. The 6-month EUR (resp. USD) interest rate is 1.4% (resp. 1.8%) per annum with continuous compounding. Three months later, the spot exchange rate has increased to 0.9737 EUR/USD, and both interest rates have remained unchanged. 

What is the FX swap's present value (in euros) after three months?

Answer rating: 100% (QA)

Initial Parameters USD amount purchased11 million Spot rate at initiation09518 EURUSD Forward rate a... View the full answer