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Chartered Financial Analyst Level 2

Chartered Financial Analyst Level 2

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An analyst gathers the following information about the GBP/EUR (amount of GBP per 1 EUR) exchange rate:

  • Spot exchange rate: 0.90
  • 5-year forward exchange rate: 0.85

Entering into an at-market 5-year pay-fixed EUR, receive-fixed GBP currency swap with a notional of EUR 1,000 is equivalent to:

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