Which of the following factors does not affect the valuation of a variable notional equity swap that pays the equity return in exchange for Libor?
A) Expected equity price growth.
B) Equity volatility.
C) Interest-rate term structure.
D) All of the above.

Question

Which of the following factors does not affect the valuation of a variable notional equity swap that pays the equity return in exchange for Libor? 
A) Expected equity price growth.
B) Equity volatility.
C) Interest-rate term structure.
D) All of the above.

Quizplus · Accepted Answer

All of the factors listed (expected equity price growth, equity volatility, and interest-rate term structure) can affect the valuation of a variable notional equity swap that pays the equity return in exchange for Libor. Therefore, none of the choices are excluded as a factor that affects the valuation.

Which of the Following Factors Does Not Affect the Valuation