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In the Schweser examples (pages 9092 on reading 39) they give the formula:
payoff = (LIBOR - r)NP*(days in underlying /360)
In concept check #10 they calculate the payoff using the loan rate (LIBOR + 150bps)
Why the difference and when do you use one vs. the other? |
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发表于 2011-7-11 19:10
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