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Suppose that you have entered a 5-year swap to receive Japanese Yen and Pay 1-year Libor...

Suppose that you have entered a 5-year swap to receive Japanese Yen and Pay 1-year Libor with notional principal of USD 10,000,000. At the time the swap agreement was completed the swap quote was 0.50% bid and 0.60% offered against the 1-year dollar Libor, and the spot rate was JPY100/$ (assume payments are annual). Assume that 1 year has passed. The spot exchange rate is JPY 98/USD. The dealer is quoting the following interest rates on 4-year swaps: 1.50% bid and 1.60% offered against the 1-year dollar Libor. You want to close out the swap. What is your net dollar cashflow?

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