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Consider a One-Year Caplet on Underlying Six-Month Libor at a Strike

Question 29

Multiple Choice

Consider a one-year caplet on underlying six-month Libor at a strike rate of 6%.If the corresponding floorlet is equal to the caplet in price,what is the current forward rate for the period (1,1.5) years?


A) <6%< 6 \%
B) =6%= 6 \%
C) >6%> 6 \%
D) Cannot be determined from the given information.

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