COMPLETE SOLUTION TO ILLUSTRATION 1: CROSS CURRENCY INTEREST RATE SWAP—USD/GBP
T-1 On purchase of cross-currency interest rate swap trade:
T-2 Accrued interest on valuation date -pay leg:
T-3 On reversal of accrued interest on coupon date—pay leg:
T-4 On accounting for interest on coupon date—pay leg:
T-5 On settlement of interest on pay leg:
T-6 Accrued interest on valuation date—pay leg:
T-7 On reversal of accrued interest on coupon date—pay leg:
T-8 On accounting for interest on coupon date—pay leg:
T-9 On settlement of interest on pay leg:
T-10 Accrued interest on valuation date—pay ...
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