1. You currently hold a Portfolio A of options with the following Greeks: A=450;GA=6,000;A=4,000 Options-Y is available with: Y=0.1;GY=0.5;Y=0.6 Options- Z is available with: Z=0.6;GZ=1.5;z=0.8 Explain how you can combine options A,Y and Z to give a portfolio that is gamma-vega-deltaneutral. neutral.Ay+Nzz=0=6.000+Ny(0.5)+Nz(1.5)Nx+Nyy+Nzz=0=4000+Ny(0.8)+Nz(0.8) 2. It is the 10th January- 01 and you enter an 18 -month equity swap on a notional principal of $1m, where you pay USD-LIBOR and receive the percentage return on the S\&P500 index. The tenor in the swap is 6 months. The 6-month LIBOR rate is currently 5% pa and the S\&P500 index is at 1500 . Assume the LIBOR rates are 6% (after 181 days), 5% (after a further 184 days) and 5.5% (after a further 181 days). The S\&P500 index is 1550 (after 181 days), 1490 (after a further 184 days) and 1600 (after further 181 days). Assume all payments are determined using a 360-day year. Show the (ex-post) payments in the swap, using a table and the payoffs to each element in the swap, at each reset date