Equity swap 计算

问题如下：

Michael Mensah is based in Australia and entered into a one-year equity swap 30 days ago. Under the terms of the swap, he would receive the return on the S&P/ASX 300 Metals and Mining Index and pay a fixed annual interest rate of 4.8% on a notional amount of AUD75,000,000. The swap payments are quarterly. At the time the swap was initiated 30 days ago, the value of the S&P/ASX 300 index was 3,250. Today, the value of the S&P/ASX 300 index is 3,738. Exhibit 2 provides present value factors based on the current Australian terms structure of interest rates.

Exhibit 2: Present Value Factors Based on Current Australian Term Structure.

Based on the information in Exhibit 2, the market value of Mensah’s equity swap is closest to

选项：

A.

AUD 7,665,000.

B.

AUD 7,713,870.

C.

AUD 9,993,870.

解释：

Because this is a pay fixed rate receive equity swap the MV of the swap = PV equity receipts – MV of fixed rate bond.

V_t = (S_t/S_t-)NA_E – FB_t(C₀)

The market value of the equity swap is calculated as follows:

$\frac{3738}{3250}\ast75,000,000-900,000\ast(0.9976+0.9924+0.9861+0.9696)-75,000,000\times0.9696=9,993,870$