Multiple Choice
You enter into a two-year variable notional swap of equity returns for 6-month Libor with semi-annual payments on both legs.The initial swap notional is $100 million,the Libor rate at inception of the swap is 7.2%,and the realized raw equity returns during the first 6-month period is 6.3%.The first 6-month period has 183 days.The notional principal of the swap entering the second 6-month period is
A) $103.15 million.
B) $103.20 million.
C) $103.66 million.
D) $106.3 million.
Correct Answer:
Verified
Correct Answer:
Verified
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