Exchange of foreign funds as per fema

My colleague and I moved from USA to India in 2008. Now, my colleague is moving back to USA and I have decided to stay in India. My colleague wants to transfer his Indian Rupees saving to US and I want to bring my US savings to India. We both have used banks to transfer our money. However, we have lost a lot in exchange rate and bank commissions. Is it possible to give a cheque in USD to my colleague, who in turn gives equivalent Indian Rupees cheque to me, thus both can avoid paying commission to Banks? Is it possible legally without violating any provisions of FEMA? Thanks for your help.