Suppose that a 2-year floor has a floor rate of 4.86% and a notional amount of $7
Fantastic news! We've Found the answer you've been seeking!
Question:
Suppose that a 2-year floor has a floor rate of 4.86% and a notional amount of $7 million. The frequency of settlement is semiannual and the reference rate is 6-month LIBOR. Assume that 6-month LIBOR for the next four half-year periods is as shown below. What is the sum of payoffs from all 6-month periods?
Related Book For
Introduction To Derivatives And Risk Management
ISBN: 9781305104969
10th Edition
Authors: Don M. Chance, Robert Brooks
Posted Date: