In order to calculate how much Rensselaer will receive in dollars as a result of the swap, first calculate the implied notional principal (NP) from the quarterly cash flows of EUR 10,000,000, using the quarterly euro interest rate:
Next, calculate the dollar implied principal at the current exchange rate:
EUR 689,655,172.41/0.72 = $957,854,406.13.
Lastly, calculate a dollar cash flow using the quarterly dollar interest rate:
$957,854,406.13 × 0.034/4 = $8,141,762
