问题如下：
A manger entered into a receive-fixed and pay-equity swap three months ago. The annualized fixed rate is 3% and equity index was at 100 when swap was entered. The maturity of swap is one year with quarterly reset, and notional amount is $100 million. The current spot rates are as follows:
The value of this equity swap would be zero if the equity index level is:
选项：
A.100.753630
B.100
C.99.753630
解释：
A is correct.
考点：equity swap求value
解析：
已知value=0，反求此时equity index的价格。
首先画图：
一年期的swap，3个月之前进入的，所以时间轴如下，还剩3笔现金流。
对于fixed leg来说，我们只用将三笔现金流折现即可。
将现在index的价格设为X，那么equity leg的价值=X/100*100,000,000
头寸是付equity return收固定，所以value of swap=- X/100*100,000,000+100,753,630=0
可计算出X=100.753630
老师，
为什么equity value 是x/100xNP,而不是（x-100)xNP呢？
