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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 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 ...
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Publisher Resources

ISBN: 9781299447547Publisher Website