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-   -   Determine the profit or loss of a coupon swap contract (https://www.askmehelpdesk.com/showthread.php?t=524290)

  • Nov 9, 2010, 08:31 AM
    kupoxkupo
    Determine the profit or loss of a coupon swap contract
    Hello. I have this task that I need to do, but no reading material to tell me the method of calculation for such a task. I tried searching on Google, but that did not give me any results. Does anyone here know how I can calculate tasks like this one?

    Determine the profit or loss of the following coupon swap contract:
    Millennium Corporation of USA and Matahi Corporation of Japan enter into a currency coupon swap agreement on the 1st of January 2010. The agreement is:
    - Notional Principal: USD 20 Million (JPY 1600 million)
    - Swap Tenor: 2 years
    - Matahi will pay 7% in USD at the end of each year and receive 6% in JPY at the end of each year.
    - The currency market rates in Japan is 8%, while it is 7% in the USA.

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