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LOS b: Compute the payoff for a cap and a floor, and explain how a collar is created.
Q1. Assume that a three-year semi-annually settled cap with a strike rate of 8% and a notional amount of $100 million is being analyzed. The reference rate is six-month LIBOR. LIBOR for the next four semi-annual periods is as follows:
|
Period |
LIBOR |
|
1 |
7.5% |
|
2 |
8.2% |
|
3 |
8.1% |
|
4 |
8.7% |
What is the payoff for the cap for period 4?
A) $700,000.
B) $350,000.
C) $0.
[此贴子已经被作者于2009-4-2 10:17:17编辑过] | 
发表于 2009-4-2 10:14
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