6

An investor entered into a 1-year equity swap in which he receives the return on stock index X and pays the return on stock index Y. The notional amount is $2.8MM, and the payments are done quarterly. Given the following index prices, what is the value of the swap after 200 days pass?

Price	At initiation	At the end of first settlement	At the end of second settlement	200 days after initiation
Stock Index X	1850	1910	1905	1970
Stock Index Y	15320	16750	16490	16830

Review Later

$37,806

$45,941

$33,210

$40,657