NO.PZ202504020200007204
问题如下：
Based on the information in Exhibit 2, the market value of Mensah’s equity swap is closest to:选项：
A.A.AUD 7,665,000. B.B.AUD 7,713,870. C.C.AUD 9,993,870.解释：
C Correct.
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)
Note that PV(Par – NAE) in Vt=FBt(C0)-(St/St-)NAE-PV(Par-NAE) is
0, because Par and NAE are equal.
The market value of the equity swap is
calculated as follows:
3,7383,250×75,000,000−[(900,000)(0.9976+0.9924+0.9861+0.9696)+75,000,000×0.9696]=9,993,870
我一样的思路，式子是3,738/3,250×75,000,000−[(900,000)(0.9976+0.9924+0.9861+0.9696)+75,000,000×0.9696]，怎么算都是990408.46，就算有四舍五入这个是不是也差得太远
