- A floating-rate (payer) equity swap
- Net value
- Zero on the reset date.
- Value of the floating side
- Par or
- Face value (e.g. $10 million)
- Replicating portfolio.
- Borrow money for the time to maturity at a floating rate
- Invest the proceeds in the underlying (e.g. equity index fund).
Sunday, January 30, 2011
Equity Swap
Subscribe to:
Post Comments (Atom)
0 comments:
Post a Comment