You have an outstanding fixed-for-fixed NOK/NZD swap for NOK 100 million, based on a historic...
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You have an outstanding fixed-for-fixed NOK/NZD swap for NOK 100 million, based on a historic spot rate of NOK/NZD 4 and initial seven-year swap rates of 7% (NZD, outflow) and 8% (NOK, inflow). The swap now has three years to go, and the current rates at NOK/NZD 4.5, 6% p.a. (NZD three years), and 5% p.a. (NOK three years). What is the market value of the swap contract in NOK?
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