← 返回数学题库
4826数理金融中等数值题short

Infer Missing Leg Value From Cap-Floor Parity 11

题目

A cap and floor share the same strike K=0.03 and annuity A=4,000,000. The matching floor is worth 12000, and the forward swap rate is S0=0.032. Using cap-floor parity, what cap value is implied?

解题计时

0:00

提交作答时记录,用于后续平均用时统计。

你的答案