Consider a 1-year quarterly-pay $1000000 e

问题：

Consider a 1-year quarterly-pay $1000000 equity swap based on 90-day London Interbank Offered Rate (LIBOR) and an index return. Current LIBOR is 3.0 percent and the index is at 840. Below are the index level and LIBOR at each of the four settlement dates on the swap.

A．

B．Q₁

C．Q₂

D．Q₃

E．Q₄

F．LIBOR

G．3.2%

H．3.0%

I．3.4%

J．3.9%

K．Index

L．881

M．850

N．892.5

O．900