Consider an Equity Swap of the Equity Index Return Versus

Multiple Choice

Consider an equity swap of the equity index return versus six-month Libor. The current equity index is at 1100. The six-month Libor rate is currently 11.50%. There are 184 days in the given six month period. What should be the level of the index in 6 months for the net payment in six months to be zero?

A) 1100.
B) 1165
C) 1227
D) 1422