Question: In a fixed - for - fixed currency swap, 3 . 4 % on a US dollar principal of $ 1 9 4 million is

In a fixed-for-fixed currency swap, 3.4% on a US dollar principal of $194 million is received and 3.4% on a British pound principal of 151 million pounds is paid. The current exchange rate is 1.94 dollar per pound. Interest rates in both countries for all maturities are currently 2.6%(continuously compounded). Payments are exchanged every year. The swap has 2.5 years left in its life. What is the value of the swap to the US dollar receiver, in millions of dollars?

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