Reading 61: Swap Markets and Contracts-LOS e 习题精选 class, center, interpret, div, different

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Session 17: Derivative Investments: Options, Swaps, and Interest Rate and Credit Derivatives
Reading 61: Swap Markets and Contracts

LOS e: Calculate and interpret the fixed rate, if applicable, on an equity swap and the market values of the different types of equity swaps during their lives.

 

 

 

Consider a fixed-rate semiannual-pay equity swap where the equity payments are the total return on a $1 million portfolio and the following information:

• 180-day LIBOR is 4.2%
• 360-day LIBOR is 4.5%
• Div. yield on the portfolio = 1.2%

What is the fixed rate on the swap?

A) 4.3232%.

B) 4.4477%.

C) 4.5143%.

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(1 – 1/1.045) / (1/1.021 + 1/1.045) = .022239 × 2 = 4.4477%

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Consider a $5 million semiannual-pay floating-rate equity swap initiated when the equity index is 760 and 180-day LIBOR is 3.7%. After 90 days the index is at 767, 90-day LIBOR is 3.4 and 270-day LIBOR is 3.7. What is the value of the swap to the floating-rate payer?

A) ?$3,526.

B) ?$2,726.

C) $3,526.

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1.0185 = 1 + 0.037(180/360)

1.0085 = 1 + 0.034(90/360)

767/760 – 1.0185/1.0085 = ?0.00070579 × 5,000,000 = ?$3,526

Note: The 1.0185/1.0085 is the present value of the floating rate side after 90 days.

土豆妮

Consider a semiannual equity swap based on an index at 985 and a fixed rate of 4.4%. 90 days after the initiation of the swap, the index is at 982 and London Interbank Offered Rate (LIBOR) is 4.6% for 90 days and 4.8% for 270 days. The value of the swap to the equity payer, based on a $2 million notional value is closest to:

A) $22,314.

B) ?$22,564.

C) $22,564.

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?$22,564 is the value to the fixed-rate payer, thus $22,564 is the value to the equity return payer.