Question
You bought a semiannual interest rate cap on $8 million notional with K = 3% (annually, rate quotes are almost always in annual terms). Today
You bought a semiannual interest rate cap on $8 million notional with K = 3% (annually, rate quotes are almost always in annual terms). Today is one of the interest settlement dates and you realize that six months ago the (annual) LIBOR rate was 4%. What is your payoff?
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Managing The Audit Function A Corporate Audit Department Procedures Guide
Authors: Michael P. Cangemi
2nd Edition
0471012556, 978-0471012559
