A firm wants to borrow money by issuing a $$10$ million floating rate note for $5$ years. The note will pay semi$-$annual coupons at $6-$month LIBOR $+3\mathrm{.}5\%.$ The current $6-$month LIBOR rate is $4\%$ per year compounded semi$-$annually. In addition, the firm wants to limit its interest rate risk by buying a $5-$yr CAP with semi$-$annual payments and a strike rate of $5\%$ per year compounded semi$-$annually and a notional principal of $$10$ million. The premium for the cap is $3\mathrm{.}2\%$ of the notional amount. To reduce the up$-$front cost of the CAP the firm will sell a FLOOR with semi$-$annual payments and a strike rate of $3\%$ per year compounded semi$-$annually and a notional principal of $$10$ million. The premium for the FLOOR is $2\mathrm{.}0\%$ of the notional amount. What is the worst case all$-$in$-$cost $($i$.$e$.$ IRR$)$ of this structure?

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