An asset manager enters into a one-year equity swap in which he will receive the return on the Nasdaq 100 Index in return for paying a floating interest rate. The swap calls for quarterly payments. The Nasdaq 100 is at 1651.72 at the beginning ofthe swap. Ninety days later, the rate L90(90) is 0.0665. Calculate the market value ofthe swap 100 days from the beginning of the swap if the Nasdaq 100 is at 1695.27, the notional principal of the swap is $50 million, and the term structure is:
L100(80) = 0.0654
L100(170) = 0.0558
L100(260) = 0.0507

Answer rating: 100% (QA)

Answer To calculate the market value of the swap 100 days from the beginning of the swap we need to ... View the full answer