The 5 year swap rates computed above are the coupon rates for “par bonds” denominated in euro and aud. A par bond has a market price equal to its face value.
It follows that
1. The value in euro of the euro bond with a face value of 10m euro and a coupon rate of 7.0000% and a term of 5 years is exactly 10m euros
2. The value in aud of the euro bond is 10,000,000×1.60=$16,000,000
3. The value in aud of the aud bond with a face value of 16m aud and a coupon rate of 11.1470% and a
term of 5 years is exactly 16m aud
Under the swap, you are paying fixed in aud and receiving fixed in euros.
Thus you are short a 5 year aud denominated bond with a fixed rate of 11.147% and a face value of $16mAUD, and long a 5 year euro denominated bond with a fixed rate of 7.00% and a face value of 10m Euros.
The value of the 5 year aud bond is $16,000,000×[0.576950+0.11147×(3.795187)]=$16,000,000 AUD The value of the 5 year Euro bond is $10,000,000×[ 0.70468809+0.07000×( 4.21878)]=10,000,000 Euro swap value = aud value of the long euro bond less the aud value of the aud bond = 16m-16m= 0

You can create a swap of this type by combining a fixed for fixed currency swap with a fixed for floating interest rate swap. Specifically, the proposed swap involves:
 receive floating rate in euros on 10m euros
 pay fixed rate in aud on 16m aud
we could combine two 5 year swaps:
 a euro pay fixed / receive floating interest rate swap with a notional principal of 10m euros and
 a currency swap to pay aud fixed rate on aud 16m and receive euro fixed rate on 10m euros [2 marks]
Another way to think about it is this: the swap we want is equivalent to a combination of 2 bonds: a long position in a euro denominated floating rate bond with a face value of 10m euros, and
a short position in an aud denominated fixed rate bond with a face value of 16m aud