NO.PZ201903040100000104
问题如下：
4.From the bank’s perspective, using data from Exhibits 4 and 5, the fair value of the equity swap is closest to:
选项：
A. -$1,139,425.
B. -$781,323.
C. -$181,323.
解释：
B is correct. Te value of an equity swap is calculated as
The swap was initiated six months ago, so the first reset has not yet passed; thus, there are five remaining cash flows for this equity swap. The fair value of the swap is determined by comparing the present value of the implied fixed- rate bond with the return on the equity index. The fixed swap rate of 2.00%, the swap notional amount of $20,000,000, and the present value factors in Exhibit 5 result in a present value of the implied fixed-rate bond’s cash flows of $19,818,677:
The value of the equity leg of the swap is calculated as (103/100)($20,000,000)= $20,600,000.
Therefore, the fair value of the equity swap, from the perspective of the bank (receive-fixed, pay-equity party) is calculated as
Vt = $19,818,677 - $20,600,000 = -781,323
老师，请问下，这里的0.02是怎么算出来的，为什么我算出来的是0.2，2%*20*1/2=0.2，好奇怪
