Business
Business, 22.03.2021 23:10, mi364

Consider a contract that caps the LIBOR interest rate on $10,000 at 8% per annum (with quarterly compounding) for 3 months starting in one year. This is a caplet and could be one element of a cap. Suppose the LIBOR/Swap curve zero curves are flat at 7% per annum with quarterly compounding, and the volatility of The 3-month forward rate underlying the caplet is 20% per annum. What is the price of the caplet

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Consider a contract that caps the LIBOR interest rate on $10,000 at 8% per annum (with quarterly com...

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