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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
Currency Options, Interest Rate Options and Options on Futures 427
For example, a oating-rate loan may be stated as a loan with MIBOR + 150 basis points, with the
interest reset every six months. Suppose the 6-month MIBOR is 6% at the time of undertaking the loan,
the interest rate for the rst six months will be xed at 7.5% (6% + 150 basis points). At the end of
six months, let us assume that the 6-month MIBOR is 6.3%. In this case, the interest rate for the next
six months will be set at 7.8% (6.3% + 150 basis points). Since the future MIBOR rates are not known at
the current time, there is a risk of unknown future int ...
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Publisher Resources

ISBN: 9781299447547Publisher Website