Chapter 9

The buyer of a 5-year cap on 3-month LIBOR will receive cash from the counterparty when 3-month LIBOR exceeds 5.00%. The cap premium is 150 basis points at the offer. The buyer of a 2-year floor on 3-month LIBOR will receive cash from the counterparty when 3-month LIBOR falls below 2.00%. The floor premium is 37 basis points. ................
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