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。
这里不需要考虑s&p500和XYZ的现在的return吗 一个收一个付 原有的不考虑吗 为什么只算变动的啊