Sfm rtp que

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Richa Patel

Article

105 Points Posted on 11 April 2014

The following que is given in sfm rtp which am not able 2 understand after lot of efforts. I dont understand what calculations are made to arrive at the ans. Kindly pls hlp me with the calculation of figures given in answer. Pls pls do rply if u knw...

QUE NO 4 INTEREST RATE COLLARS

The que can be found in the file attached together with answer.Pls just point out how figures are arrived in answer.

pls pls pls do rply

Attached File : 276992 1307347 32522rtpfinalmay2014 2.pdf downloaded: 150 times

Replies (3)

nipun

student

33 Points Posted on 12 April 2014

It seems the reference point is wrongly taken in d solution... As per d question d reference fr d collar is 6 month libor so if d givn 6 monthly libor rates in d question breaches d cap or a floor only thn it is executed for eg on june 15 & dec 15, howver in d solution tey hve tken libor + 50 bps as d reference rate fr d collar nd accordingly calculatd d cap/floor amt which I think is incorrect.

Richa Patel

Article

105 Points Posted on 13 April 2014

Originally posted by : nipun
	It seems the reference point is wrongly taken in d solution... As per d question d reference fr d collar is 6 month libor so if d givn 6 monthly libor rates in d question breaches d cap or a floor only thn it is executed for eg on june 15 & dec 15, howver in d solution tey hve tken libor + 50 bps as d reference rate fr d collar nd accordingly calculatd d cap/floor amt which I think is incorrect.