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You are longa put option expiring in45days for the60-day LIBOR withX=6.06%and$341,416notionalamount.Your payoff from the option is123.8.What was the60-day LIBOR spot rate at the option's expiration?
You are longa put option expiring in45days for the60-day LIBOR withX=6.06%and$341,416notionalamount.Your payoff from the option is123.8.What was the60-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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