$($ LIBO$\frac{R^2}{?}$ swap interest rates is flat in both the US and

$\frac{20}{?}$ compounding. A financial Institution has entered into a currency swap in which it receives $5\%$ pa in yen and pays $8\%$ pa in dollars, once a year. Torer another $1$ year and USD$10$ million and JPY$1,200$ million. The swap will last for swap to the finan the spot JPY$/$USD exchange rate is $90.$ Calculate the value of institution using forward pricing formulas.

A$.$ $$2\mathrm{.}98$mil

B$.-$$$3\mathrm{.}52$mil

C$.$ $$3\mathrm{.}52$mil

D$.$ $$3\mathrm{.}77$mil

Answer:

Solution:

$q,$

$231$

Answer:

$251$

The LIBOR zero curve is flat at $5\%($continuously compounded$)$ out to $1\mathrm{.}5$ years. Swap rates for $2\mathrm{.}5-$year semiannual pay swap is $5\mathrm{.}5\%.$ Estimate the LIBOR zero rates for maturity of $2\mathrm{.}0$ years if the LIBOR zero rates for $2\mathrm{.}5$ years is $5\mathrm{.}442\%$ continuously compounding.

A$.5\mathrm{.}650\%$

B$.5\mathrm{.}444\%.$

C$.5\mathrm{.}342\%.$

D$.5\mathrm{.}432\%.$

Solution: