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segalm

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tT
发表于 2013-4-22 06:18 | 只看该作者

Interest Rate call option question

referring, question, examples, interest, previous
Specifically referring to SChweser examples:
How come the LIBOR used to calculate interest and call option payoff are the same?
Isnt rates based on LIBOR suppose to be from previous settlement date while payoff on the option the current LIBOR?
Please help me. Please.

 

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Micholien

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发表于 2013-4-22 06:18 | 只看该作者
are caps and floors reference rates from previous settle LIBOR or current LIBOR?

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