Assume an asset manager enters into a one-year equity swap in which he will receive the

return on the NSE index in return for paying a floating interest rate. The swap calls for

quarterly payments. The NSE index is at 1561.27 at the beginning of the swap. Ninety days

later, the 90-day rate is 4.32%.

Calculate the market value of the swap 100 days into the contract if the NSE index is at

1595.72 and the term structure is:

Term Rate

80-day 4.27%

170-day 4.81%

260-day 5.44%

The Notional principal is Sh. 50 million.