Market conditions are as follows; Exchange rate is USD 1 = JPY 130.00. USD market interest rate is 10% p.a. during the contract period, and JPY market interest rate is 6% p.a. during the contract period. The scheduled 'currency coupon' swap contract is as follows; the assumed principle amount is USD 100 million (JPY 13,000 million). Swap contract period is 2 years. You will pay 6.3 % in USD currency at the end of each year, and receive 6% in JPY currency at the end of each year. Calculate the NPV in JPY currency, using the original exchange rate of USD 1 = JPY 130.00.
Market conditions are as follows; Exchange rate is USD 1 = JPY 130.00. USD market interest rate is 10% p.a. during the contract period, and JPY market interest rate is 6% p.a. during the contract period. The scheduled 'currency coupon' swap contract is as follows; the assumed principle amount is USD 100 million (JPY 13,000 million). Swap contract period is 2 years. You will pay 6.3 % in USD currency at the end of each year, and receive 6% in JPY currency at the end of each year. Calculate the NPV in JPY currency, using the original exchange rate of USD 1 = JPY 130.00.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Market conditions are as follows; Exchange rate is USD 1 = JPY 130.00. USD market interest rate is 10% p.a. during the contract period, and JPY market interest rate is 6% p.a. during the contract period. The scheduled 'currency coupon' swap contract is as follows; the assumed principle amount is USD 100 million (JPY 13,000 million). Swap contract period is 2 years. You will pay 6.3 % in USD currency at the end of each year, and receive 6% in JPY currency at the end of each year. Calculate the
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