
Currency Options, Interest Rate Options and Options on Futures 429
Table 17.1 Calculation of the Effective Interest Payout at Each Reset Date
Date
6-month
MIBOR
Loan rate
MIBOR +
1.5%
Number of
Days in the
Period
Interest
Payment
(INR)
Caplet
Pay-off
(INR)
Effective
Interest
(INR)
December 31, 2009 6.00% 7.5% 184 3,780,822 0 3,780,822
June 30, 2010 6.80% 8.3% 181 4,115,890 148,767 3,967,123
December 31, 2010 7.25% 8.75% 184 4,410,959 378,082 4,032,877
June 30, 2011 7.00% 8.5% 181 4,215,069 247,945 3,967,123
December 31, 2011 6.50% 8% 184 4,032,877 0 4,032,877
June 30, 2012 6.25% 7.75% 182 3,864,384 0 3,864,384
Table 17.1 shows the applicable rate payable ...