Problem 2.1. A U.S. company wants to borrow Australian dollars (AUD) at a fixed rate...
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Problem 2.1. A U.S. company wants to borrow Australian dollars (AUD) at a fixed rate of interest. An Australian company wants to borrow U.S. dollars at a fixed rate of interest. They have been quoted the following interest rates (per annum): US company Australian company US Dollars 7.8% 8.2% AUD 8.4% 8.0% Design a swap that will net a bank, acting as intermediary, 10 basis points per annum and that will produce a gain of 35 basis points per annum for each of the two companies
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