Question
Suppose that a 2-year floor has a floor rate of 4.86% and a notional amount of $7 million. The frequency of settlement is semiannual and
Suppose that a 2-year floor has a floor rate of 4.86% and a notional amount of $7 million. The frequency of settlement is semiannual and the reference rate is 6-month LIBOR. Assume that 6-month LIBOR for the next four half-year periods is as shown below. What is the sum of payoffs from all 6-month periods?
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Introduction To Derivatives And Risk Management
Authors: Don M. Chance, Robert Brooks
10th Edition
130510496X, 978-1305104969
