此题为何用五月维作为基期？我看到老师在别人的提问下回答是因为reset，那么讲义哪里提到需要重新reset？

问题如下：

8.Based on Exhibit 3, on the June settlement date, the party that is long the S&P GSCI total return swap will:

选项：

owe a payment of $434,308.38.

receive a payment of $1,502,621.33.

receive a payment of $1,971,173.60.

解释：

A is correct.

The total return swap involves a monthly cash settlement (reset) based on the performance of the underlying reference asset (S&P GSCI) given a notional amount of $25 million. If the level of the index increases between the two valuation dates (in this case, May and June), the long position (the swap buyer) receives payment. If the level of the index decreases between the two valuation dates, the swap seller receives payment.

The return on the reference index for the month of June is [(3,225.21 - 3,282.23)/3,282.23], which is equivalent to -1.7372%. Therefore, the swap buyer (long position) must pay the swap seller a cash settlement for the month of June. The June payment calculation is equal to $25,000,000 x -1.7372%, or -$434,308.38.

考点：Commodity Swap 计算

解析：Total return swap总收益互换，双方应支付或收到的金额等于指数水平的变动乘以商品互换的名义数量。与超额收益互换的不同之处在于总收益互换包括指数价格的本金部分。如果在两个估值期间，指数增长了，那么互换的买方会收到卖方支付的金额，如果指数下降，互换卖方会收到买方支付的金额。

以六月的合约来看，指数的变动=（3,225.21-3,282.23) / 3,282.23=-1.7372%

收益的计算=指数的变动*互换的名义量=-1.7372%*25,000,000=-434,308.38

从题目的时间来看，互换指数从五月到六月是下跌的，那么互换卖方会收到买方支付的金额， 对于买方来说，需要支付434,308.38，所以是owe a payment. 正确答案为A。