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Hull.07.11 by btzoho  236 views
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$ Macros
 
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Legend
Yellow: Inputs
Green: Pay Dollars
Blue: Pay Yen
Assumptions
Principal, Dollars ($MM)7.0
US rate8.0%
Principal, Swiss Franc (MM)CHF 10.0
Swiss rate3.0%
FX rate (CHF/dollar)1.25
FX rate (dollar/CHF)0.800000
Swap:
PAY dollars @8.0%
RECEIVE CHF @3.0%
Time6.07.08.09.010.0
US Rate8.0%8.0%8.0%8.0%8.0%
Swiss Rate3.0%3.0%3.0%3.0%3.0%
Value Interest Rate Swap as Forward Rate Agreeements (FRA)
Pay Dollars
Future value (FV)$0.560$0.560$0.560$0.560$7.560
Pay CHF
Future value (FV), CHFCHF 0.30CHF 0.30CHF 0.30CHF 0.30CHF 10.30
Forward Rate (IRP)0.8000000.8388350.8795550.9222520.967021
Dollar value of CHF CF$0.240$0.252$0.264$0.277$9.960
Net Cash Flow (FV)-$0.320-$0.308-$0.296-$0.283$2.400
Net Cash Flow (PV)-$0.320-$0.286-$0.254-$0.225$1.764$0.680
Value Interest Rate Swap as Two Bonds
Pay Dollars
Future value (FV)$0.560$0.560$0.560$0.560$7.560
Present value (PV)$0.560$0.519$0.480$0.445$5.557$7.56
Pay CHF
Future value (FV)CHF 0.30CHF 0.30CHF 0.30CHF 0.30CHF 10.30
Present value (PV)$0.300$0.291$0.283$0.275$9.151¥10.30
Present value (PV), US Dollars$8.24
Net Value$0.680
Hull_07_11
 
     
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