., a Canadian, company, has just entered into a one year currency swap contract with a notional value of Canadian $50 million. The swap contractt requires the company to make quarterly payments in Canadian dollars and receive quarterly payments in US dollars. The accruual period for the swap is 90/360, assuming 360 days per year. The US$.C$ spot exchange rate is 0.74, with the Canadian dollar being the domestic cureency. The term structures of C$ LIBOR and US$ LIBOR are: Days C$LIBOR % US$ LIBOR % 90 .525 .65 180 .575 .7 270 .625 .75 360 .675 .8 What is the notional amount of the swap in US dolla

Essentials Of Investments
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Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
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Foxtrot Inc., a Canadian, company, has just entered into a one year currency swap contract with a notional value of Canadian $50 million. The swap contractt requires the company to make quarterly payments in Canadian dollars and receive quarterly payments in US dollars. The accruual period for the swap is 90/360, assuming 360 days per year. The US$.C$ spot exchange rate is 0.74, with the Canadian dollar being the domestic cureency. The term structures of C$ LIBOR and US$ LIBOR are:

Days         C$LIBOR %       US$ LIBOR %

90                      .525              .65

180                    .575              .7

270                    .625             .75

360                     .675              .8

What is the notional amount of the swap in US dollars?

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