EXHIBIT 2
INFORMATION ON INTEREST RATE OPTIONS
Notional amount | $60 million |
Underlying | 180-day spot Libor |
Day count convention | 30/360 |
Call exercise rate | 6.00% |
Call premium | $100,000 |
Put exercise rate | 4.50% |
Put premium | $130,000 |
Exercise date for both put and call | 30 Jun |
Q. Given a 180-day spot Libor of 6.0% on the 30 June reset date, what is the effective interest rate at the reset of the Texmaco loan under the assumption of a collar constructed from the loan and the options described in Exhibit 2?
- 8.39%
- 8.28%
- 8.16%
Day count convention | 30/360 |
答案之前算option premium时间价值都是360天一年,最后effective rate用365,这里有规定吗,按题干条件是不是effective rate也应该是360,官网好几道题目都是这样,我算出总和结果差一点