Question: Problem 3 LIBOR zero rates are flat at 5% in the US and flat at 9% in Australia (both annually compounded). In a four-year swap

Problem 3 LIBOR zero rates are flat at 5% in the US and flat at 9% in Australia (both annually compounded). In a four-year swap Australian LIBOR is received and 8% is paid with both being applied to a USD principal of $10 million. Payments are exchanged annually. The volatility of all one-year forward rates in Australia is estimated to be 30%, the volatility of the forward USD- AUD exchange rate (AUD per USD) is 20% for all maturities, and the correlation between the two is 0.3. What is the value of the swap

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