Question: / At t = 0 , we are in 8 / 1 / 2 0 1 9 The company Ford will start a currency swap
At t we are in
The company Ford will start a currency swap with the Brazilian company Skol.
The first payments will start in and will continue each year until
The principals in the two currencies are $ million and million Real.
At this time, suppose that the term structure of LIBORswap interest rates is:
In Brazil: r
r
r
r
r
In the United States: r
r
r
r
r
Ford will receive per annum continuously compounded
The exchange rate is BRLUSD
What should be the rate that Ford would pay to Skol?
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