NO.PZ202108100100000205
问题如下:
Based on Exhibit 5, the current value of the equity swap described in Exhibit 4 would be zero if the equity index was currently trading the closest to:
选项:
A.97.30.
99.09.
100.00.
解释:
B is correct.
The equity index level at which the swap’s fair value would be zero can be calculated by setting the swap valuation formula equal to zero and solving for St :
he value of the fixed leg of the swap has a present value of $19,818,678, or
99.0934% of par value:
Treating the swap notional value as par value and substituting the present value
of the fixed leg and S0 into the equation yields
Solving for St yields St = 99.0934
中文解析:
本题相当于第(4)小题的变形,思路和计算过程类似,只是这里需要另t时刻的value=0.反求此时的equity index。
谢谢!