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