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Derivatives and Risk Management, 1st Edition
book

Derivatives and Risk Management, 1st Edition

by Sundaram Janakiramanan
May 2024
Intermediate to advanced content levelIntermediate to advanced
542 pages
27h 26m
English
Pearson India
Content preview from Derivatives and Risk Management, 1st Edition
Introduction 17
P R O B L E M S
1. Mahindra and Mahindra decide to take a  oating rate loan in
the Euro market on April 1, 2009, with the following charac-
teristics:
Principal amount USD 10 million
Interest reset period Every three months
Maturity of loan Five years
Base rate 3-month USD LIBOR
Premium over base rate 250 basis points
Assume that the actual rates on April 1, 2009; July 1, 2009;
October 1, 2009; and January 1, 2010, are:
3-month LIBOR as of April 1, 2009 6.3%
3-month LIBOR as of July 1, 2009 5.6%
3-month LIBOR as of October 1, 2009 5.9%
3-month LIBOR as of January 1, 2010 6.6%
(i) What will be the e ective ...
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Publisher Resources

ISBN: 9781299447547Publisher Website