A Japanese firm had swapped ¥ 100 million fixed rate liability into $ 0.9091 million floating rate liability when the exchange rate was ¥/$ 110. At that time fixed ¥ vs. 6 month dollar LIBOR swap rate was 3%. The interest payments on both fixed and floating rates are semi-annual. The swap presently has a remaining maturity of 4 year 9 months. The present yen-dollar exchange rate is ¥/$ 120 and current 5 year fixed ¥ vs. 6 month dollar LIBOR swap is 2%. The present 6 month LIBOR set three months back is 6%, while current 3 month LIBOR is 5%. You are required to find the value of the swap to the Japanese firm?
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