问题
单项选择题
An analyst does research about equity swap. An investor enters into a threemonth equity swap on a notional principal of $1000000 with the following terms:
·The investor pays the return on an equity index, which is 2308.55 at inception.
·The investor receives a fixed rate of 8.00% with a 30/360 count convention.
If the ending equity index value is 2059.15, the net cash flow to the investor is closest to:（）
A. $47008
B. $88033
C. $128033
答案
参考答案：C
解析：
收益=[8%×3/12-(2059.15-2308.55)/2308.55]×$1000000≈$128033。因为股票指数下跌，投资者收到固定的利息外，还可能得到本金乘以股票指数下跌的比例部分。