An FI buys a $100 million cap at a premium of .75 percent and sells a floor

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An FI buys a $100 million cap at a premium of .75 percent and sells a floor at a .85 percent premium. What size floor should be sold so that the net cost of the cap purchase is zero? ($88,235,294) LO.1

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Financial Institutions Management A Risk Management Approach

ISBN: 9780073530758

7th Edition

Authors: Anthony Saunders, Marcia Cornett

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Question Posted: Jul 24, 2024 07:04 AM

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An FI buys a $100 million cap at a premium of .75 percent and sells a floor

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Financial Institutions Management A Risk Management Approach

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