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Legend |
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Yellow: Inputs |
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Green: Pay Dollars |
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Blue: Pay Yen |
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Assumptions |
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Principal, Dollars ($MM) |
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10 |
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US rate |
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9.0% |
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Principal, Yen (MM) |
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¥1,200 |
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Japanese rate |
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4.0% |
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FX rate (yen/dollar) |
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110 |
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FX rate (dollar/yen) |
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0.009091 |
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Swap: |
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PAY dollars @ |
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8.0% |
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RECEIVE yen @ |
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5.0% |
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Time |
1.0 |
2.0 |
3.0 |
3.0 |
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US Rate |
9.0% |
9.0% |
9.0% |
9.0% |
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Japanese Rate |
4.0% |
4.0% |
4.0% |
4.0% |
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| Value Interest Rate Swap as Two Bonds |
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Pay Dollars |
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Future value (FV) |
$0.80 |
$0.80 |
$0.80 |
$10.00 |
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Present value (PV) |
$0.73 |
$0.67 |
$0.61 |
$7.63 |
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$9.64 |
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Pay Yen |
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Future value (FV) |
¥60.00 |
¥60.00 |
¥60.00 |
¥1,200.00 |
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Present value (PV) |
¥57.65 |
¥55.39 |
¥53.22 |
¥1,064.30 |
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¥1,230.55 |
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Present value (PV), US Dollars |
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$11.19 |
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Net Value |
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$1.54 |
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| Value Interest Rate Swap as Forward Rate Agreeements (FRA) |
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Pay Dollars |
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Future value (FV) |
$0.80 |
$0.80 |
$0.80 |
10 |
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Pay Yen |
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Future value (FV), Yen |
¥60.00 |
¥60.00 |
¥60.00 |
¥1,200.00 |
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Forward Rate (IRP) |
0.009557 |
0.010047 |
0.010562 |
0.010562 |
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Dollar value of Yen CF |
$0.57 |
$0.60 |
$0.63 |
$12.67 |
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Net Cash Flow (FV) |
-$0.23 |
-$0.20 |
-$0.17 |
$2.67 |
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Net Cash Flow (PV) |
-$0.21 |
-$0.16 |
-$0.13 |
$2.04 |
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$1.54 |
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