Question

What are your net payments (after the fact) on a swap receiving the technology index returns and paying the financials' index returns? The underlying notional payment is $500,000 and the settlement period is 100 days long. Fill in the blanks with question markes with integers.

Payment 0 100 20.0 300 400 Tech Index 520 515 520 550 600 Francial Index 103 105 98 108 115

t	Tech Index	Financial Index	Payment
0	530	103
100	515	105	?
200	520	98	?
300	550	108	?
400	600	115	?

Answer 1

Swap contract is of receiving the technology index returns and paying the financials index returns.

You can see it as buying technology index and selling financials index

t	Tech Index	Financial Index
0	530	103
units that can be bought in $500,000	943.3962	4854.369

t	Tech Index	Financial Index	Tech Index Value	Financial Index Value	Gain / (Loss) in long Tech index	Gain /(Loss) in Short Financial index	Total payout
0	530	103	500,000.00	500,000.00
100	515	105	485,849.06	509,708.74	-14,150.94	-9,708.74	-23,859.68
200	520	98	490,566.04	475,728.16	4,716.98	33,980.58	38,697.56
300	550	108	518,867.92	524,271.84	28,301.89	-48,543.69	-20,241.80
400	600	115	566,037.74	558,252.43	47,169.81	-33,980.58	13,189.23