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II. DAX Index Equity Swap You must reformulate the DAX Index equity swap. The swap
initiated on March 12017 with a DAX Index value of 12 , 067.19 Swap construct : Notional
amount of 100 mil EUR is fixed Fund manager pays 3 month EURIBOR + 2% Fund manager
receives % return on DAX payments occur quarterly for 1 year Find a. DAX Index close value
on June 1 , Sep 1 and Dec 12017 b. 3 month Euribor values on June 1 , Sep 1 and Dec 12017
Calculate a. Fund payments, Fund receipts and the Fund's quarterly net value for Q1,2 and 3
(Reminder only the net payment switches hands i.e. What the fund receives minus what it pays)
b. The total net payment for the lifetime of the swap c. The return on 100 mill EUR invested at
the March 12017 DAX index value as of Q3 DAX index value

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  • 1. II. DAX Index Equity Swap You must reformulate the DAX Index equity swap. The swap initiated on March 12017 with a DAX Index value of 12 , 067.19 Swap construct : Notional amount of 100 mil EUR is fixed Fund manager pays 3 month EURIBOR + 2% Fund manager receives % return on DAX payments occur quarterly for 1 year Find a. DAX Index close value on June 1 , Sep 1 and Dec 12017 b. 3 month Euribor values on June 1 , Sep 1 and Dec 12017 Calculate a. Fund payments, Fund receipts and the Fund's quarterly net value for Q1,2 and 3 (Reminder only the net payment switches hands i.e. What the fund receives minus what it pays) b. The total net payment for the lifetime of the swap c. The return on 100 mill EUR invested at the March 12017 DAX index value as of Q3 DAX index value