What is the price of a 3-year interest rate cap with an 11.5% (effective annual) cap rate?
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Bond maturity (years) Bond price 1-year forward price volatility 0.9259 0.8495 0.7722 0.7020 0.1000 0.1050 0.1100
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We must sum three caplets The one year option ...View the full answer
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