Question #66
Reading: Reading 30 Pricing and Valuation of Forward Commitments
PDF File: Reading 30 Pricing and Valuation of Forward Commitments.pdf
Page: 27
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 4.2% 360-day MRR is 4.5% Div. yield on the portfolio = 1.2% What is the fixed rate on the swap?
Answer Choices:
A. 4.3232%
B. 4.5143%
C. 4.4477%
No explanation available for this question.