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A bank buys an interest rate floor in conjunction with a loan it holds that will make four semiannual payments starting six months from now.
A bank buys an interest rate floor in conjunction with a loan it holds that will make four semiannual payments starting six months from now. The floor has a strike of 9 percent. LIBOR at the beginning of the four payment periods is 10, 11, 8, and 8.6 percent. On which dates will the floor writer make a payment to the bank?
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