NO.PZ2016082405000109
问题如下：
High Flying Hedge Fund will enter into a $100 million total return swap on the S&P 500 Index as the index receiver (i.e., total return receiver). The counterparty (i.e., total return payer) will receive 1-year LIBOR + 400bp. The contract will last two years and will exchange cash flows annually.
• Current LIBOR = 3%.
• Current S&P 500 value = 2,000.
• S&P 500 in one year = 2,200.
• S&P 500 in two years = 1,760.
Given the above information, what are the cash flows to High Flying in one year and in two years, respectively? Assume LIBOR remains flat.
选项：
解释：
B Over the next year, the S&P 500 Index will increase by l0%. Hence, the index receiver
(High Flying) will receive $10 million from the index payer and will pay $7 million (LIBOR =3% + 400bp) to the counterparty. Therefore, the net cash flow will be +$3 million to High Flying.
Between years 1 and 2, the S&P 500 Index will drop 20%. Now, High Flying as the total return receiver must pay 20% to the counterparty in addition to the 7% floating rate.
Hence, the total outflow from High Flying to the counterparty is $27 million.
可以大概算出答案，但是有个疑问
1.我在第二年时候，算出depreciation=（2200-1760）/2000*100=22.所以outflow=7+22=29, 与选项中差了2.，这种做法为啥错
2.虽然可以正确写出答案，但是解析中说的TRS只针对当年的收益率，而且这个收益率是HPR当期收益率。所以TRS都是默认只通过当期收益率来核算cash flow吗，而不是通过针对期初（2000）来算的当年收益率么
