What is the price of a 3 year interest rate cap with an 11 5 (effective annual) cap rate Bond maturity (years) Bond price 1 year forward price volatility 0 9259 0 8495 0 7722 0 7020 0 1000 0 1050 0 1100...

We must sum three caplets The one year option has ...

What is the price of a 3-year interest rate cap with an 11.5% (effective annual) cap rate?

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What is the price of a 3-year interest rate cap with an 11.5% (effective annual) cap rate?

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Derivatives Markets

ISBN: 9789332536746

3rd Edition

Authors: Robert McDonald

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Question Posted: Aug 12, 2015 02:59 AM

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What is the price of a 3-year interest rate cap with an 11.5% (effective annual) cap rate?

Question:

Bond maturity (years) Bond price 1-year forward price volatility 0.9259 0.8495 0.7722 0.7020 0.1000 0.1050 0.1100

Step by Step Answer:

We must sum three caplets The one year option has ...View the full answer

Derivatives Markets

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