Homework Helper

Not Rated (0)

$17/per page/

About Homework Helper

Levels Tought:
Elementary,Middle School,High School,College,University,PHD

Expertise:
Accounting,Applied Sciences See all
Accounting,Applied Sciences,Art & Design,Chemistry,Economics,Essay writing Hide all
Teaching Since: Apr 2017
Last Sign in: 419 Weeks Ago, 3 Days Ago
Questions Answered: 3232
Tutorials Posted: 3232

Education

  • MBA,MCS,M.phil
    Devry University
    Jan-2008 - Jan-2011

  • MBA,MCS,M.Phil
    Devry University
    Feb-2000 - Jan-2004

Experience

  • Regional Manager
    Abercrombie & Fitch.
    Mar-2005 - Nov-2010

  • Regional Manager
    Abercrombie & Fitch.
    Jan-2005 - Jan-2008

Category > Business & Finance Posted 20 May 2017 My Price 8.00

Calculate the price of a cap

Calculate the price of a cap on the 90-day LIBOR rate in 9 months’ time when the principal amount is $1,000. Use Black’s model and the following information:

(a) The quoted 9-month Eurodollar futures price = 92. (Ignore differences between futures and forward rates.)

(b) The interest rate volatility implied by a 9-month Eurodollar option = 15% per annum.

(c) The current 12-month interest rate with continuous compounding = 7.5% per annum.

(d) The cap rate = 8% per annum. (Assume an actual/360 day count.

Answers

Homework Helper
Not Rated (0)
Status NEW Posted 20 May 2017 09:05 AM My Price 8.00

Hel-----------lo -----------Sir-----------/Ma-----------dam----------- T-----------han-----------k Y-----------ou -----------for----------- us-----------ing----------- ou-----------r w-----------ebs-----------ite----------- an-----------d a-----------cqu-----------isi-----------tio-----------n o-----------f m-----------y p-----------ost-----------ed -----------sol-----------uti-----------on.----------- Pl-----------eas-----------e p-----------ing----------- me----------- on----------- ch-----------at -----------I a-----------m o-----------nli-----------ne -----------or -----------inb-----------ox -----------me -----------a m-----------ess-----------age----------- I -----------wil-----------l

Not Rated(0)