Interest Rate Options, On May 15 an investor anticipates that he would need to borrow 10,000,000 Singapore
Fantastic news! We've Found the answer you've been seeking!
Question:
- Interest Rate Options, On May 15 an investor anticipates that he would need to borrow 10,000,000 Singapore dollars on June 15 to fund the purchase of an asset, which he expects to sell after three months on September 15. The current three-month Sibor (Singapore Libor) is 0.55%. The appropriate FRA rate over the period of June 15 to September 15 is currently 0.68%. the interest rate call option has an exercise rate of 0.60^.
- In using the Black model to value this interest rate call option, what would the underlying be?
- The discount factor used in pricing this option would be over what period of time?
Related Book For
Posted Date: