Value a three-year interest rate floor with a $10 million notional amount and a floor rate of

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Value a three-year interest rate floor with a $10 million notional amount and a floor rate of 4.8% using the binomial interest-rate trees shown in Exhibit 31-11.

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Bond Markets Analysis and Strategies

ISBN: 978-0133796773

9th edition

Authors: Frank J.Fabozzi

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Question Posted: Aug 22, 2015 07:52 AM

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Value a three-year interest rate floor with a $10 million notional amount and a floor rate of

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The arbitragefree binomial model described in Chapter 19 can also be used to value a floor and a cap This is because a floor and a cap are nothing more than a package or strip of options More specific...View the full answer

Bond Markets Analysis and Strategies

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