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Suppose a financial institution has entered into a fixed-for-fixed currency swap in which it receives
3% per annum in yen and pays 4% per annum in dollars once per year.
The principal amounts in the two currencies are $10 million dollars and 1,200 million yen, the swap
will last for another 3 years, and the current exchange rate is 110 yen per dollar.
All Japanese interest rates are 1.5% per annum (continuously compounded) and USD interest
rates are 2.5% per annum (continuously compounded).
Value the swap:
a) in terms of forward rates;
b) in terms of bonds

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