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- 主题
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- 注册时间
- 2011-7-11
- 最后登录
- 2013-10-18
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| The problem in the book - they are calculating what the payoff will be at the date of the settlement. In this one - you are calculating the value of the floor / cap - as of TODAY. So you need to discount the amount you would get at maturity - to today using the interest rate. |
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发表于 2013-4-10 23:29
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