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Pricing and Valuation of Equity Swap. Consider an equity swap in which one set of payments is fixed and another is index return. The notional
Pricing and Valuation of Equity Swap. Consider an equity swap in which one set of payments is fixed and another is index return. The notional principal is Rs 10 million and payments are semiannual for three years based on adjustment factor of 180/360. The level of index on swap initiation date is 2145.64 . The term structure of interest rate is given below. a. Find the price of swap. b. Now assume it is 100 days after the initiation of the swap. The level of index is now at 2175.24. New term structure of interest rate is as follows: Find the value of swap. Ans: (a) R=7.65% (b)Value of swap for party paying equily =Rs178162.57
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