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Posted on Oct 03, 2024

Your firm has purchased an interest rate floor for a 90 day exposure with an exercise rate of 3% written over a NP = $10mill.

Your firm has purchased an interest rate floor for a 90 day exposure with an exercise rate of 3% written over a NP = $10mill. What is the payoff if the reference interest rate drops to 2.5%? Use 365 days/year convention.

A. $12,328.76 B. $73,972.60 C. $61,643 D. -$12,328.76

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