Assumptions Values $$10,000,000\mathrm{.}9850$ Notional principal Original spot exchange rate, SFr$./$$ New $(1-$year later$)$ spot exchange rate, SFr$./$$ New fixed US dollar interest New fixed Swiss franc interest Swap Rates $3-$ year bid Original: US dollar $5\mathrm{.}56\%$ Original: Swiss franc $1\mathrm{.}93\%1\mathrm{.}04754\mathrm{.}20\%2\mathrm{.}20\%3-$year ask $5\mathrm{.}59\%2\mathrm{.}01\%$