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Consider a $100 fixed notional, equity for Libor swap. The swap is based on semi-annual payments on both legs, with an ACT/360 convention for the
Consider a $100 fixed notional, equity for Libor swap. The swap is based on semi-annual payments on both legs, with an ACT/360 convention for the Libor leg. The current period is of 183 days, and the swap has run exactly 92 days into the period, The six-month Libor rate on the previous reset was 10% and the equity price was $ 40. The Libor rate for the remaining period is 9% and the stock price is $41. What is the value of the swap from the point of view of the receiver of equity return?
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- 0.246
+ 1.0246
+ 0.246
-1.0246
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