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Consider a contract that caps the LIBOR interest rate on $10,000 at 8% per annum (with quarterly compounding) for 3 months starting in one year.
Consider a contract that caps the LIBOR interest rate on $10,000 at 8% per annum (with quarterly compounding) for 3 months starting in one year. This is a caplet and could be one element of a cap. Suppose the LIBOR/Swap curve zero curves are flat at 7% per annum with quarterly compounding and the volatility of the 3-month forward rate underlying the caplet is 20% per annum. Under this caplet, what is the solution for d_1, and d_2? O A. -0.5677,-0.7677 OB. 0.5398, 0.4602 O C. 0.1000, -0.1000 OD. -0.4602, -0.5398 Consider a contract that caps the LIBOR interest rate on $10,000 at 8% per annum (with quarterly compounding) for 3 months starting in one year. This is a caplet and could be one element of a cap. Suppose the LIBOR/Swap curve zero curves are flat at 7% per annum with quarterly compounding and the volatility of the 3-month forward rate underlying the caplet is 20% per annum. Under this caplet, what is the solution for d_1, and d_2? O A. -0.5677,-0.7677 OB. 0.5398, 0.4602 O C. 0.1000, -0.1000 OD. -0.4602, -0.5398
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