Last minute help for derivatives-mock exam (merimar)

CFA Level II Portfolio Management
#1

For the market value calculation of the equity swap (question # 43)-

How do we get 0.012 which is multiplied to all the present value factors, when in the question only present value factors are given (not directly though) for 30 days time i.e B30(90), B30(180), B30(270) and B30(360) and present value factors at the time of contract initiation B0(90), B0(180),B0(270) and B0(360) are not given?

#2

Trying to pull from memory since I don’t have it in front of me, but the question gave you the original annual of 4.8 if you multiply that by your term (90/360), you get 1.2% or .012

#3

That’s correct. :slight_smile:

#4

Ohh…Yes the original annual rate 4.8% was given already… .I never looked at that data :stuck_out_tongue:

Thanks…