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Basic Question 2 of 2
Consider a one-year currency swap with semi-annual payments. The two currencies are the US$ and the euro. The current exchange rate is $0.75/euro. The term structure of interest rates for LIBOR and Euribor are:
B. 0.0784
C. 0.0628
What is the annualized fixed rate in euros?
A. 0.0648
B. 0.0784
C. 0.0628
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I was very pleased with your notes and question bank. I especially like the mock exams because it helped to pull everything together.
Martin Rockenfeldt
Learning Outcome Statements
describe how currency swaps are priced, and calculate and interpret their no-arbitrage value;
CFA® 2025 Level II Curriculum, Volume 5, Module 31.