Examlex
A company buys a caplet today (time 0) with maturity T = 1 year and a strike rate of k = 3 percent on a notional of LN = $200 million.Suppose the six-month bbalibor rate realized after one year is 4.5 percent.Assume that there are 181 days in this six-month period and the year has 365 days.
-Which of the following inputs into the HJM libor model caplets formula are NOT easily observable?
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