Solutions fundamentals of futures and options markets 7e by hull chapter 07

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... long a dollar bond and short a USD bond The value of the dollar bond (in millions of dollars) is 048e 0 07 1  1248e 0 07 2  11297 The value of the AUD bond (in millions of AUD) is 16e 009�1... making each of A and B 15 basis points better off than they would be by going directly to financial markets One possible swap is shown in Figure S7.3 Company A borrows at an effective rate of 6.85%...  0 6077 The two-year forward exchange rate is 062e 002�2  05957 The value of the swap in millions of dollars is therefore (048  16 �0 6077 )e0 07 1  (1248  216 �05957)e0 07 2
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