金融工程原理货币互换

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Consider a 2-year currency swap between USD and EUR involving floating rates only.
The EUR benchmark is selected as 6-month Euro LIBOR, the dollar benchmark is 6-month
BBA LIBOR. You also have the following information:
Notional amount 5 USD10;000;000
Exchange rate EUR=USD 5 0:84
a. Show the cash flow diagrams of this currency swap. Make sure to quantify every cash
flow exactly (i.e., use a graph as well as the corresponding number).
b. Show that this currency swap is equivalent to two floating rate loans.
c. Suppose a company is trying to borrow USD10,000,000 from money markets.
The company has the following information concerning available rates on 6-month loans:
EUR LIBOR = 5.7%, USD LIBOR = 6.7%
EUR- USD currency swap spread: 1 year—75, 2 years—90.
Should this company borrow USD directly? Would the company benefit if it borrowed EUR
first and then swapped them into USD?


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