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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 431
Table 17.2 Calculation of the Effective Interest Payout at Each Reset Date
Date
6-month
MIBOR
Loan rate
MIBOR +
0.5%
Number
of Days in
the Period
Interest
Payment
(INR)
Floorlet
Pay-off
(INR)
Effective
Interest
(INR)
December 31, 2009 5.50% 6.0% 184 3,024,657.5 0 3,024,658
June 30, 2010 5.00% 5.5% 181 2,727,397.3 0 2,727,397
December 31, 2010 4.60% 5.1% 184 2,570,958.9 0 2,570,959
June 30, 2011 4.20% 4.7% 181 2,330,684.9 148,767.1 2,479,452
December 31, 2011 3.95% 4.45% 184 2,243,287.7 277,260.3 2,520,548
June 30, 2012 4.25% 4.75% 182 2,368,493.2 124,657.5 2,493,151
Table 17.2 shows the ...
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Publisher Resources

ISBN: 9781299447547Publisher Website