Consider a fixed-rate semiannual-pay equity swap where the equity payments are the total return on a $1 million portfolio and the following information:
180-day LIBOR is 5.2%
360-day LIBOR is 5.5%
Dividend yield on the portfolio = 1.2%
What is the fixed rate on the swap? A. 5.4234%. B. 5.4197%. C. 5.1387%.
