18.19. Calculate the price of a cap on the three-month LIBOR rate in nine months' time for...
Question:
18.19. Calculate the price of a cap on the three-month LIBOR rate in nine months' time for a principal amount of $1,000. Use Black's model and the following information: Quoted nine-month Eurodollar futures price = 92 Interest rate volatility implied by a nine-month Eurodollar option = 15% per annum Current 12-month interest rate with continuous compounding = 7.5% per annum Cap rate = 8% per annum
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Question Posted: