You Have Sold a $10,000 Notional Cap Consisting of a Single

Multiple Choice

You have sold a $10,000 notional cap consisting of a single caplet with a strike of 6% for a six-month underlying period. All interest rates are computed based on the 30/360 convention. At maturity of the cap period, the underlying interest rate is 7%. What is the net cash flow to you on maturity?

A) $- \$ 50.00$
B) $+ \$ 48.31$
C) $- \$ 48.31$
D) $+ \$ 46.73$