A company enters into a 2-year pay-fixed USD, receive-fixed EUR currency swap with semiannual resets. The spot interest rates and present value factors at initiation of the swap are as follows: | Maturity (Years) | EUR Spot Rate | Present Value Factor (EUR) | USD Spot Rate | Present Value Factor (USD) | |------------------|---------------|----------------------------|---------------|----------------------------| | 0.5 | 1.50% | 0.992556 | 2.30% | 0.988631 | | 1.0 | 1.80% | 0.982318 | 2.90% | 0.971817 | | 1.5 | 2.20% | 0.968054 | 3.50% | 0.950997 | | 2.0 | 2.50% | 0.952381 | 4.00% | 0.925926 | The respective EUR and USD periodic fixed swap rates are closest to: | Chartered Financial Analyst Level 2 Quiz - LeetQuiz

A company enters into a 2-year pay-fixed USD, receive-fixed EUR currency swap with semiannual resets. The spot interest rates and present value factors at initiation of the swap are as follows:

Maturity (Years) EUR Spot Rate Present Value Factor (EUR) USD Spot Rate Present Value Factor (USD)
0.5 1.50% 0.992556 2.30% 0.988631
1.0 1.80% 0.982318 2.90% 0.971817
1.5 2.20% 0.968054 3.50% 0.950997
2.0 2.50% 0.952381 4.00% 0.925926

The respective EUR and USD periodic fixed swap rates are closest to:

Exam-Like

A

1.22% and 1.93%.

B

2.00% and 3.18%.

C

2.44% and 3.86%.

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