Newhuman

Hi Dreary, what your saying to me makes total sense. The problem is, it's not worked out like that in the examples CFAI give on interest rate derivatives. It's just plain:

C = [Max 0, Strike - Reference*(t/360)]* notional.

And this is on settlement date.



Edited 1 time(s). Last edit at Friday, May 21, 2010 at 11:39AM by soddy1979.