Two parties A and B enter into a Swap contract in which in 6 months the net
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Question:
Two parties A and B enter into a Swap contract in which in months the net amount of the following payments for a notional amount of $ million:
A agrees to pay B the percentage change in the S&P over the months multiplied by the notional amount. If the S&P falls, then A is to pay a negative amount, that is it will receive cash from this part of the contract
B agrees to pay A the month Tbill rate of the notional amount. For example, if the month Tbill rate is then B will pay x notional amount for this part of the contract. This is the real months return, rather than YTM
In months time the Tbill interest rate is while the S&P has fallen by What will be As total cash flow from this forward contract the total of the cash received from both parts of the contract Give your answers in $millions, for example if the answer is $ million, then enter in the answer box.
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