问题
单项选择题
Consider a 1-year quarterly-pay $1000000 equity swap based on a fixed rate and an index return. The current fixed rate is 3.0 percent and the index is at 840. Below are the index level at each of the four settlement dates on the swap.
A．
B．Q1
C．Q2
D．Q3
E．Q4
F．Index
G．881
H．850
I．892.5
J．900
答案
参考答案：C
解析：The equity-return payer will pay the index return minus the fixed rate at the initiation of the swap. [ (881/840 - 1 ) - 0.0075 ] × 1000000 = $41309.52