Multiple Choice
Consider a one-year maturity caplet on underlying six-month Libor at a strike rate of 6%.If the forward rate is lognormal with volatility ,and the one-year spot rate is 5%,what is the price of a $100,000-notional caplet if the (1,1.5) -year forward rate is 6%?
A) $113.80
B) $139.34
C) $160.96
D) $227.59
Correct Answer:
Verified
Correct Answer:
Verified
Q18: You have a $50 cash flow that
Q19: An equivalent description of the holding of
Q20: Which of the following isnot true of
Q21: Firm A can borrow at 4% fixed
Q22: Suppose Libor caps and floors at the
Q24: A plain vanilla interest-rate swap is an
Q25: You enter into a $100 million notional
Q26: The main difference between the "short-form" and
Q27: Who is likely to bear the greater
Q28: The UK money-market day-count convention is<br>A)Actual/365.<br>B)Actual/360.<br>C)Actual/Actual.<br>D)30/360.