老师，首先请问一下，在这个考点的例题中，课件82及课件83页，分别是公司买call 及银行买put。前者购买成本要在获得的实际贷款中抵扣，到手的贷款变少，后者购买的成本在贷出的贷款中增加，实际贷出增加。现在有这么一个题，研究对象是公司firm（Texmaco），不是bank，使用的是collar，问有效利率：Mink is concerned about an upcoming reset on a floating-rate loan Casford Bank made to Texmaco. Exhibit 1 provides details on the loan and other relevant information.
EXHIBIT 1
TEXMACO LOAN INFORMATION
| Face value | $60 million |
| Loan due date | One year from now |
| Rate | 180-day Libor + 200 bps |
| Reset frequency | Every six months |
| Next reset | 30 Jun |
| Current spot 180-day Libor | 5% |
information on European-style interest rate option contracts that could be used to hedge the Texmaco loan.
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 |
Mink evaluates a put hedging strategy and a collar hedging strategy. He also examines methods to lower the cost of the collar.
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? A.8.39% B.8.28% C.8.16%
C is correct. The effective cost of the collar purchased on 1 January for 30 June expiration = ($130,000 − $100,000)[1 + (0.05 + 0.02)(180/360)] = $31,050.
| Effectivetotalamountofloan | = | $60,031,050 | ||
| Putpayoff | = | $60,000,000[max(0,0.0450−0.0600)](180/360)=0 | ||
| Callpayoff | = | −$60,000,000[max(0,0.0600−0.0600)](180/360)=0 | ||
| Interestonloan | = | $60,000,000[0.06+0.02](180/360)
| ||
| Effectiverate | = | [(60,000,000+$2,400,000)/($60,031,050)]365/180−1 | ||
| = | 8.16% |
我的疑问是：
