Multiple Choice
Suppose that you are a swap bank and you notice that interest rates on coupon bonds are as shown. Develop the 3-year bid price of a euro swap quoted against flat USD LIBOR. The current spot exchange rate is $1.50 per €1.00. The size of the swap is €40 million versus $60 million. 
In other words, what you be willing to pay in euro against receiving USD LIBOR?
A) 7%
B) 6%
C) 5%
D) None of the above
Correct Answer:
Verified
Correct Answer:
Verified
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