单选题 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.

	Q₁	Q₂	Q₃	Q₄
LIBOR	3.2%	3.0%	3.4%	3.9%
Index	881	850	892.5	900

At the final settlement date, the equity-return payer will:

A. pay $97.
B. pay $16903.
C. receive $97.

【正确答案】 C

【答案解析】The equity return payer will pay the equity return and receive the floating rate return which is based on the Q₃ realized LIBOR.
[0.034 × (90/360) - (900/892.5 - 1 ) ] × 1000000 = $96.64