Consider a 1-year quarterly-pay $1000000 e

问题单项选择题

Consider a 1-year quarterly-pay $1000000 equity swap based on 90-day London Inter-bank Offered Rate (LIBOR) and an index return. Current LIBOR is 3.0 percent and the index is at 840. Below are the index level and LIBOR at each of the four settlement dates on the swap.（）

A.Q₁

B.Q₂

C.Q₃

D.Q₄

答案

参考答案：A

解析：

The equity-return payer will receive the floating rate from the end of the previous period, 3.2% , plus the negative return on the index over the second quarter. [0.032/4-(850/881- 1)]×1000000=$43187.29.