Accounting for Investments, Volume 2: Fixed Income Securities and Interest Rate Derivatives—A Practitioner's Guide

SOLUTION TO PROBLEM 4: INTEREST RATE CAP—RECEIVE

T-1 On purchase of interest rate cap trade:

T-2 On accounting for premium on interest rate cap trade:

T-3 On accounting for premium paid:

T-4 On accounting for interest income on interest rate cap:

T-5 On accounting of interest accrued on valuation date:

T-6 On valuation of interest rate cap as on date:

T-7 On reversal of interest accrual on coupon date:

T-8 On accounting for interest income on interest rate cap:

T-9 On accounting of interest accrued on valuation date:

T-10 On reversal of net present value of interest rate cap contract: ...