Consider a ten-year currency swap with a notional principal of AUD100, 000, where A receives...
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Finance
Consider a ten-year currency swap with a notional principal of AUD100, 000, where A receives annual payments in Australian dollars and B receives annual payments in New Zealand dollars at a contracted exchange rate of 0.9400 (NZD/AUD). Suppose the market exchange rate assumes the following values:
Year Market Exchange rate (NZD/AUD)
0 0.9400
1 0.9420
2 0.9450
3 0.9320
4 0.9210
5 0.9329
6 0.9410
7 0.9430
8 0.9500
9 0.9480
10 0.9400
Prepare a table showing the gross payments and the net payments in NZD between A and B based on the market exchange rates.
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