Consider a $100 Fixed Notional,equity for Libor Swap,where the Stock $- 2.16$

Consider a $100 fixed notional,equity for Libor swap,where the stock price at inception was $35.Two years later,on the stock price was $40.The swap is based on semi-annual payments on both legs,with an ACT/360 convention for the Libor leg.Assume that the number of days in the next period is 183,and the six-month Libor rate was 10%.Of these 92 have elapsed.The 91-day 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?

A) $- 2.16$
B) $- 4.66$
C) Zero.
D) $+ 4.66$

Correct Answer:

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