NO.PZ2018113001000043
问题如下:
A dealer enters into an equity swap, notional principle is $500,000. He will receive the return on stock XYZ and pay return on S&P 500 Index. At the end of quarter, stock XYZ is up 5% and index is up 1%, the payoff to the dealer is:
选项:
A.$50,000
B.$20,000
C.$60,000
解释:
B is correct.
考点:equity swap
解析:
payoff= (+5%-1%) * 500,000=$20,000
收到股票XYZ的return为5%,付出的是S&P 500 Index的return为1%。收到的减掉付出去的然后乘以名义本金就是其payoff。
现货中dealer不是还有index5%的收益 为什么不合并计算呢