Essay
A swap dealer provides the following quotations for a yen/$ currency swap. The quotes are for a yen fixed rate against the U.S. Treasury yield flat, with annual payments.
A client wishes to enter a five-year swap, paying yen and receiving $. The current yield on five-year U.S. Treasury bonds is 7.20%, using the semiannual method, which amounts to 7.33%, using the annual European method.
What will the exact terms of the swap be if the client accepts these quotations?
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