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A Firm swaps 5% on $30 million for 7.5% on 20 million sterling. There are now 6 months remaining in the swap and the next coupon payment is in 6 months, the term structures of interest rates are flat in both countries, with dollar rates currently at 4.25% and Sterling rates currently at 7.75%. The current $/sterling exchange rate is $1.65. How do you calculate the value of this swap please?

 

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