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

Question

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

Quizplus · Accepted Answer

The Answer of 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) $+ 1,533.33$
B) $- 7,616.22$
C) $- 6,082.89$
D) $+ 3,113.33$

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