a Consider a swap with notional N = 1, a cap, and a floor with...
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a Consider a swap with notional N = 1, a cap, and a floor with identical reset/settlement dates. Consider furthermore a payer and receiver swaption with expiry date on the first reset date of the swap. Assume that the strike rates of the cap, floor and the two swaptions are equal. In the market you observe that the cap and the floor are both priced at 2% and the payer syaption is priced at 1.50%. What is the price of the receiver swaption? Express your answer in percentage points and round to 2 decimal places. Enter answer here a Consider a swap with notional N = 1, a cap, and a floor with identical reset/settlement dates. Consider furthermore a payer and receiver swaption with expiry date on the first reset date of the swap. Assume that the strike rates of the cap, floor and the two swaptions are equal. In the market you observe that the cap and the floor are both priced at 2% and the payer syaption is priced at 1.50%. What is the price of the receiver swaption? Express your answer in percentage points and round to 2 decimal places. Enter answer here
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