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Consider a 5-year $100 fixed notional equity-for-Libor swap,where the stock price at inception was $35.The swap is based on semi-annual payments on both legs,with an Actual/360 convention for the Libor leg.Two years after inception,on the fourth reset date,the stock price is $40.Assume that the number of days in the next period is 183,and the six-month Libor rate on this reset date is 10%.What is the value of the swap from the point of view of the receiver of equity return?
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