The S&P 500 Index price is $1975.12 and its annualized dividend yield is 2.20%. The annual...

The S&P 500 Index price is $1975.12 and its annualized dividend yield is 2.20%. The annual LIBOR is 3.5% and is refered as the benchmark interest rate. Assuming annual compounding, how many futures contracts will you need to hedge a $30 million portfolio with a beta of 0.95 for one year?

	A.	59
	B.	61
	C.	56
	D.	57

Consider a $70 million semiannual-pay floating-rate equity swap initiated when the equity index is 1987 and 180-day LIBOR is 2.2%. After 90 days the index is at 2015, the 90-day LIBOR is 2.6%, the 180-day LIBOR is 2.8% and the 270-day LIBOR is 3.1%. What is the value of the swap to the equity-return payer?

	A.	$3,554,003.
	B.	$-596,331.
	C.	-$673,446.
	D.	$673,446..

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Please give positive vote , let me know if you need any further information regarding the question

jeff jeffy answered 1 year ago

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