International Financial Management 6th Edition by Sanjiv Eun, Cheol Resnick, Bruce Sabherwal

تمرين 14

DVR, Inc. can borrow dollars for five years at a coupon rate of 2.75 percent. Alternatively, it can borrow yen for five years at a rate of.85 percent. The five-year yen swap rates are.64--.70 percent and the dollar swap rates are 2.41--2.44 percent. The current ¥/$ exchange rate is 87.575. Determine the dollar AIC and the dollar cash flow that DVR would have to pay under a currency swap where it borrows ¥1,750,000,000 and swaps the debt service into dollars. This problem can be solved using the excel spreadsheet CURSWAP.xls.