Question
You are considering buying an interest rate call option on a $10,000,000 notional principal with a has a strike rate of 5.2% on a LIBOR
You are considering buying an interest rate call option on a $10,000,000 notional principal with a has a strike rate of 5.2% on a LIBOR 180-day loan period. At expiration of the call, the LIBOR spot rate is 5.8%. What is your gain or loss at expiration?
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The Handbook Of Equity Derivatives
Authors: Jack Clark Francis, William W. Toy, J. Gregg Whittaker
1st Edition
0471326038, 978-0471326038
