CFA Level I sample question

CFA Level I Pricing and Valuation of Interest Rates and Other Swaps question

Derivatives / Pricing and Valuation of Interest Rates and Other Swaps

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Pricing and Valuation of Interest Rates and Other Swaps sample question

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Derivatives

Pricing and Valuation of Interest Rates and Other Swaps

An asset manager enters an equity swap on a notional principal of USD 5,000,000, agreeing to receive the price return of an equity index and pay a fixed rate of 2.80% per year, with quarterly settlements on a 90/360 day-count basis. Over the first quarter, the index rises from 1,500.00 to 1,545.00. The net amount the manager receives at the first settlement is closest to:

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