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
