18.17. Suppose that zero rates are as in Problem 18.14. Use DerivaGem to determine the value of...
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18.17. Suppose that zero rates are as in Problem 18.14. Use DerivaGem to determine the value of an option to pay a fixed rate of 6% and receive LIBOR on a five-year swap starting in one year. Assume that the principal is $100 million, payments are exchanged semi- annually, and the swap rate volatility is 21%.
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