Equity Swap Schweser Mock 3 morning session question 44

CFA Level II Derivatives
#1

can someone explain me question 44 from the schweser mock exam 3 morning session

I don’t understand the formula/calculation they are using compared to the one example in the schweser derivatives book.

Thanks !

#2

Well I have just checked it assuming you are taking about vol 1

It is an quity swap where you are receiving the equity and paying fixed amount, i solved it by getting the pv of the next 3 pmts ( approx 2.96) then get the quarterly fixed rate (3.7/4) you can now calculate the fixed rate leg as fixed rate * sum pv + last discount factor( to account for the notional) this will get you approximately 252055 ( remember you are paying fixed)

now for the equity leg simply get the current rate based on the equity price (1892.3/1926.64) and because you added the notional to the fixed you have to add it here( un-discounted) and get the difference between the equity leg and he fixed rate leg which is about 6.4995

answer C