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ID No.: 12418222 Name: Yasha Athalladhira Irawan: Finance EC Task 6
ID No.: 12418222 Name: Yasha Athalladhira Irawan: Finance EC Task 6
ID No.: 12418222
Name: Yasha Athalladhira Irawan
(1) Answer the NPV from the ‘Interest Swap’ deal in the reference on ppt.
Assumed principal amount: JPY 10 Billion
Discount Rate: 6%
Pay:
700,000,000 / (1+0.06)1 + 490,000,000 / (1+0.06)2
= 660,377,358 + 436,098,255.6
= 1,096,475,613.6
Receive:
600,000,000 / (1+0.06)1 + 600,000,000 / (1+0.06)2
= 566,037,735.8 + 533,997,864
= 1,100,035,599.8
(2) Answer the NPV from the ‘Currency Coupon Swap’ deal in the reference.
USD Market Interest: 10% p.a.
JPY Market Interest: 6% p.a.
Assumed Principal Amount: USD 100 Million (JPY 14,000 Million)
Swap Period (Tenor): 2 Years
Exchange Rate (USD 1 = JPY 140.00)
USD Market Interest: 10%
JPY Market Interest: 6%
Pay:
6,300,000 / (1+0.1)1+ 6,300,000 / (1+0.1)2
= 5,727,272.7 + 5,206,611.6
= 10,933,884.3 (USD)
Receive:
840,000,000 / (1+0.06)1 + 840,000,000 / (1+0.06)2
= 792,452,830.2 + 747,597,009.6
= 1,540,049,839.8 (JPY)
= 11,000,356 (USD)