Equity Swaps Explained: Pricing and Valuation | CFA Level 2

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In this video from the CFA Level 2 curriculum, we explore how to price and value equity swaps. This video deals with equity vs fixed variant of equity swaps, but the logic and approach used in this video can be extended and cross applied for pricing and valuing other variants (equity vs floating and equity vs equity) as well. The learning objective from CFA Level 2 curriculum is given below:
CFA Learning Objective Describe how equity swaps are priced, and calculate and interpret their no-arbitrage value.
For FRM Part 1 and FRM Part 2 preparation resources, please browse over to the relevant course pages below:
1) www.finRGB.com/courses/frm-pa...
2) www.finRGB.com/courses/frm-pa...
Equity Swaps Explained: Mechanics and Variations: • Equity Swaps Explained...

Опубликовано:

30 авг 2022

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Комментарии : 3

@x6011 11 месяцев назад

I still don't get it how to change the uncertain Re to a certain NP? can you please give more explanation? thank you !

@remlatzargonix1329 Год назад

Questions: Q1) wouldn't the periodic return on equity include both the cap gain % plus the dividend yield? Q2) What happens if if the return on equity is negative?....does hedge fund have to,pay investment bank?

@finRGB Год назад

Hello Remlat: Q1) In this approach, we assume that the underlying either does not pay dividends, or, the dividends are reinvested back in the equity position. Q2) Yes, in that situation, the hedge fund pays to the investment bank.