Assume that six months have passed after initiation of an equity swap. Recall your initial swap-fixed-rate was 1.73%. In the beginning of the period, the value of equity (stocks) was $90 whereas the value of equity today is $143. Finally, assume that the notional amount is $5 million. The new discount factors are the following: TTM PVF 0.5yr 0.99 1.5yr 0.96 2.5yr 0.92 3.5yr 0.88 Can you calculate the value of your equity swap today?

Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
Question
Assume that six months have passed after initiation of an equity swap.
Recall your initial swap-fixed-rate was 1.73%. In the beginning of the
period, the value of equity (stocks) was $90 whereas the value of
equity today is $143. Finally, assume that the notional amount is $5
million. The new discount factors are the following:
TTM
PVF
0.5yr 0.99
1.5yr 0.96
2.5yr
0.92
3.5yr
0.88
Can you calculate the value of your equity swap today?
Transcribed Image Text:Assume that six months have passed after initiation of an equity swap. Recall your initial swap-fixed-rate was 1.73%. In the beginning of the period, the value of equity (stocks) was $90 whereas the value of equity today is $143. Finally, assume that the notional amount is $5 million. The new discount factors are the following: TTM PVF 0.5yr 0.99 1.5yr 0.96 2.5yr 0.92 3.5yr 0.88 Can you calculate the value of your equity swap today?
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