Consider a currency swap with 3 years remaining. A financial institution receives 3.0% per annum in sterling (GBP) and pays 1.5% per annum in dollars once a year. The LIBOR/swap interest rate with continuous compounding is flat in both countries. The British rate is 2.5% per annum and the US rate is 2.0% per annum. The principal amounts are £10 million pounds and $15 million dollars, and the current exchange rate is $1.5 = £1. By valuing the currency swap as fixed-rate bonds, what is:
a. The value of the dollar bond in $?
b. The value of the sterling bond in £?
c. The value of the currency swap in $?