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Consider a fixed-for-fixed 1-year $100,000 semiannual currency swap with rates of 5.2% in USD and 4.8% in CHF, originated when the exchange rate is $0.34. 90 days later, the exchange rate is $0.35 and the term structure is:
What is the value of the swap to the USD payer? A. $2,719. B. -$2,719. C. $2,814. |