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You are long a put option expiring in 45 days for the 60-day LIBOR with X=6.06% and $341,416 notional amount. Your payoff from the option
You are long a put option expiring in 45 days for the 60-day LIBOR with X=6.06% and $341,416 notional amount. Your payoff from the option is 123.8. What was the 60-day LIBOR spot rate at the option's expiration? Provide your answer in percent, rounded to two decimals, omitting the % sign.
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