Consider an Equity Swap of the Equity Index Return Versus

question 10

Multiple Choice

Consider an equity swap of the equity index return versus six-month Libor.The current equity index is at 1100.The six-month Libor rate is currently 11.50%.There are 184 days in the given six month period.What should be the level of the index in 6 months for the net payment in six months to be zero?

• A)1100.
• B)1165
• C)1227
• D)1422