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It Is March 15,and the Next Payment Date in an Equity

Question 2

Multiple Choice

It is March 15,and the next payment date in an equity swap is September 15.You contract through an equity swap ($100,000 notional) to receive Libor and pay the equity return.Libor payments use the money market convention,i.e. ,ACT/360.Suppose the equity index goes from 1011 to 1088 over this period.The six-month Libor on March 15 is 3%.What is your net cashflow on September 15?


A) +1,533.33+ 1,533.33
B) 7,616.22- 7,616.22
C) 6,082.89- 6,082.89
D) +3,113.33+ 3,113.33

Correct Answer:

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