NO.PZ2023020101000019
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 9,990,408.
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.
Vt
= (St/St-)NAE – FBt(C0)
The
market value of the equity swap is calculated as follows:
请问equity在30时刻的价值为什么是p30/p0*notional principle
