a currency swap has a remaining life of 30 months. it involves exchanging 2.9% interest on gbp 50 million (sterling) for interest at 3.0% on usd 60 million once a year. the term structure of interest rates in both united kingdom and the united states is currently flat, and if the swap were negotiated today, the interest rates exchanged would be 2.70% in gbp and 2.80% in usd (both rates compounded annually). the current exchange rate (usd per gbp) is 1.20. what is the value of the swap to the party receiving usd?
