In a Fixed-For-Fixed Currency Swap,3% on a US Dollar Principal

Multiple Choice

In a fixed-for-fixed currency swap,3% on a US dollar principal of $150 million is received and 4% on a British pound principal of 100 million pounds is paid.The current exchange rate is 1.55 dollar per pound.Interest rates in both countries for all maturities are currently 5% (continuously compounded) .Payments are exchanged every year.The swap has 2.5 years left in its life.What is the value of the swap?

A) -$7.15
B) -$8.15
C) -$9.15
D) -$10.15