Use the derivagem software to value a 5-year collar that, Financial Econometrics

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Use the derivagem software to value a 5-year collar that

Use the DerivaGem software to value a 5-year collar that guarantees that the maximum and minimum interest rates on a LIBOR-based loan (with quarterly resets) are 7% and 5%, respectively.

The LIBOR zero curve (continuously compounded) is currently flat at 6%. Use a flat volatility of 20%. Assume that the principal is $100.

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Financial Econometrics: Use the derivagem software to value a 5-year collar that

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Financial Econometrics: Use the derivagem software to value a 5-year collar that

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