20. Buying a cap is equivalent to buying a package of puts on a fixedincome security and...

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20. Buying a cap is equivalent to buying a package of puts on a fixedincome security and buying a floor is equivalent to buying a package of calls on a fixed-income security.

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Measuring And Controlling Interest Rate And Credit Risk

ISBN: 9780471268062

2nd Edition

Authors: Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry

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Question Posted: Oct 23, 2024 10:01 AM

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20. Buying a cap is equivalent to buying a package of puts on a fixedincome security and buying a floor is equivalent to buying a package of calls on a fixed-income security.
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19. In an interest rate cap and floor, the buyer pays an upfront fee, which represents the maximum amount that the buyer can lose and the maximum amount that the seller of the agreement can gain.
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20. Buying a cap is equivalent to buying a package of puts on a fixedincome security and...

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Measuring And Controlling Interest Rate And Credit Risk

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