Question
Find the value of a 5-year collar that guarantees that the min and max interest rates on a LIBOR-based loan (with quarterly resets) are 3.0%
Find the value of a 5-year collar that guarantees that the min and max interest rates on a LIBOR-based loan (with quarterly resets) are 3.0% and 4.0% respectively. The LIBOR zero curve (continuously compounded) is currently flat at 3.6%. Use a flat volatility of 20%. Assume that the principal is $10 mill.
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Fintech In Islamic Finance Theory And Practice
Authors: Umar A. Oseni, S. Nazim Ali
1st Edition
1138494801, 978-1138494800
