112025-06-26 18:02:42

one-year equity swap with quarterly payments to receive the return on a US stock index and pay a floating MRR interest rate. The current value of the US stock index is 925. 90 days later, the US stock index is at 905. 问：The equity swap cash flow for KPS at 90 days is closest to: Return on the equity index = (905 – 925)/925 = –0.021622 The first floating payment is made quarterly. we have (0.0142 × 90/360) = 0.003550. Cash flow from the swap = (–0.021622 – 0.00355) ×$100m 请问，为什么在结算日，PVfloating 不是等于1，即(1+f1)×B1', 而是用 t=0时刻的s1，(1+s1×days/year)？