**远期利率=((0.75*10.5%-0.25*10%)/0.5)=10.75%；利息=100*[exp（0.5*10.75%）-1]=5.522*******AnExampleofaCurrencySwap Anagreementtopay5%onasterlingprincipalof￡10,000,000receive6%onaUS$principalof$18,000,000everyyearfor5years*ExchangeofPrincipalInaninterestrateswaptheprincipalisnotexchangedInacurrencyswaptheprincipalisusuallyexchangedatthebeginningandtheendoftheswap’slife*TheCashFlows(Table7.7,page166)DateDollarCashFlows(millions)Sterlingcashflow(millions)Feb1,2011-18.0+10.0Feb1,2012+1.08?0.50Feb1,2012+1.08?0.50Feb1,2014+1.08?0.50Feb1,2015+1.08?0.50Feb1,2016+19.08?10.50*TypicalUsesofaCurrencySwapConvertaliabilityinonecurrencytoaliabilityinanothercurrencyConvertaninvestmentinonecurrencytoaninvestmentinanothercurrency*ComparativeAdvantageMayBeRealBecauseofTaxesGeneralElectricwantstoborrowAUDQuantaswantstoborrowUSDCostafteradjustingforthedifferentialimpactoftaxesUSDAUDGeneralElectric5.0%7.6%Quantas7.0%8.0%*MotivationofUsingSwap:TaxShelter*Australiagovern-mentbond:13%InvestorsofEuropeTaxed10%byAustraliagovernmentReturnaftertax11.7%AAACorp’sinEurope:needsUSDAAACorp’sofAustraliaIssuedebtinAUDwith12.5%AUDUSDIssuedebtin$*ValuationofCurrencySwaps Likeinterestrateswaps,currencyswapscanbevaluedeitherasthedifferencebetween2bondsorasaportfolioofforwardcontracts*ExampleAllJapaneseLIBOR/swapratesare4%AllUSDLIBOR/swapratesare9%5%isreceivedinyen;8%ispaidindollars.PaymentsaremadeannuallyPrincipalsare$10millionand1,200millionyenSwapwilllastfor3moreyearsCurrentexchangerateis110yenperdollar*ValuationinTermsofBonds(Table7.9,page169)TimeCashFlows($)PV($)Cashflows(yen)PV(yen)10.80.73116057.6520.80.66826055.3930.80.61076053.22310.07.63