T&Co entered a cross currency swap four years ago and the swap has exactly one year to run. Under the swap T&Co pays a bank 4.7% p.a. fixed on USD 7 million and receives 7.4% p.a. fixed on AUD 10 million. The next and final swap payment is due in one years' time. One-year zero coupon yields are 5% p.a. (c.c.) in the US and 9% p.a. (c.c.) in Australia and the spot rate of the Australian dollar is AUD1 = USD0.6500. 

What is the value of the swap to T&Co (in AUD)?

Answer rating: 100% (QA)

To calculate the value of the crosscurrency swap to TCo in AUD we need to consider the present value ... View the full answer