Question #30
Reading: Reading 30 Pricing and Valuation of Forward Commitments
PDF File: Reading 30 Pricing and Valuation of Forward Commitments.pdf
Page: 13
Status: Unattempted
Question
Consider a fixed-rate semiannual-pay equity swap where the equity payments are the total return on a $1 million portfolio and the following information: 180-day MRR is 5.2% 360-day MRR is 5.5% Dividend yield on the portfolio = 1.2% What is the fixed rate on the swap?
Answer Choices:
A. 5.4197%
B. 5.1387%
C. 5.4234%
No explanation available for this question.