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：
A.
B.
C.
D.
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.
这道题第一年结束本金应该变成了110M 第二年难道不应该用110M*0.2来算应该支付了多少吗 为什么还是100M*0.2啊
