University of Kansas

Design a swap that will net a bank, acting as intermediary, 10 basis points per annum and that will produce a gain of 15 basis points per annum for each of the two companies. The spread between the interest rates offered to A and B is 0.4% (or 40 basis points) on sterling loans and 0.8% (or 80 basis points) on U.S. dollar loans. ................
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