题目内容
Stampede Capital Management has entered into a currency swap with Polar Investments in which Stampede pays 3.5% per annum in euros and receives 2.8% per annum in dollars. Stampede pays a principal amount of ＄130 million to Polar, while Polar pays €100 million to Stampede at inception of the swap. The yield curve in both Germany and the United States isupward-sloping with the following interest rates:&1-year &2-yearGermany&4.00%&4.50%United States &2.00% &2.25%The swap will last for another two years and the current exchange rate is ＄1.33/€. What is the value of the currency swap to Stampede?
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