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Consider a $100mm equity swap with semiannual payments. When the swap is the underlying stock is at 1,215.52. One party pays a fixed rate of
Consider a $100mm equity swap with semiannual payments. When the swap is the underlying stock is at 1,215.52. One party pays a fixed rate of 5.5% based on the assumption of 30 days per month, and 360 days in a year. If the stock index is at 1,275.89 on the first payment date, calculate the net swap payment, indicating which party pays it. |
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