One of Devon’s clients is planning to acquire a competing firm in 109 days. The acquisition will initially be financed by a USD 80,000,000 bridge loan with a term of 180 days and a rate of
180-day Libor plus 300 bps. Principal and interest will be paid at the end of the loan term. Theclient is concerned about a potential increase in interest rates before the initiation of the loan, andasks for advice on fully hedging this interest rate risk.
A derivatives analyst at Devon advises the client to buy an interest rate call option on 180-day Libor with an exercise rate of 2.0% for a premium of USD 86,000. The call expires in 109 days and any payoff occurs at the end of the loan term. Current 180-day Libor is 2.2%. The client can finance the call option premium at current 180-day Libor plus 300 bps.
At initiation of the loan 109 days later, 180-day Libor is 3.5%.
C.Calculate the effective annual rate (in bps) on the loan. Show your calculations
为什么答案里， call premium算的是109天之后的值，loan的值减去109天之后的call premium相当于实际拿到手的钱？下划线部分让我的理解就是0天拿到loan，第109天执行call的权利。那就是在0天拿到的就是loan-call premium。
老师，麻烦您解答一下。谢谢！
