Consider a $100 fixed notional, equity for Libor swap, where the stock price at inception was $35. Two years later, on the stock price was $40. The swap is based on semi-annual payments on both legs, with an ACT/360 convention for the Libor leg. Assume that the number of days in the next period is 183, and the six-month Libor rate was 10%. Of these 92 have elapsed. The 91-day Libor rate for the remaining period is 9% and the stock price is $41. What is the value of the swap from the point of view of the receiver of equity return?
A) $- 2.16$
B) $- 4.66$
C) Zero.
D) $+ 4.66$

Question

Consider a $100 fixed notional, equity for Libor swap, where the stock price at inception was $35. Two years later, on the stock price was $40. The swap is based on semi-annual payments on both legs, with an ACT/360 convention for the Libor leg. Assume that the number of days in the next period is 183, and the six-month Libor rate was 10%. Of these 92 have elapsed. The 91-day Libor rate for the remaining period is 9% and the stock price is $41. What is the value of the swap from the point of view of the receiver of equity return? 
A) $- 2.16$
B) $- 4.66$
C) Zero.
D) $+ 4.66$

Quizplus · Accepted Answer

The Answer of Consider a $100 fixed notional, equity for Libor swap, where the stock price at inception was $35. Two years later, on the stock price was $40. The swap is based on semi-annual payments on both legs, with an ACT/360 convention for the Libor leg. Assume that the number of days in the next period is 183, and the six-month Libor rate was 10%. Of these 92 have elapsed. The 91-day Libor rate for the remaining period is 9% and the stock price is $41. What is the value of the swap from the point of view of the receiver of equity return? 
A) $- 2.16$
B) $- 4.66$
C) Zero.
D) $+ 4.66$

Consider a $100 Fixed Notional, Equity for Libor Swap, Where −2.16- 2.16−2.16

Consider a $100 Fixed Notional, Equity for Libor Swap, Where $- 2.16$