SOLUTION TO PROBLEM 5: INTEREST RATE CAP—RECEIVE

T-1 On purchase of interest rate cap trade:

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T-2 On accounting for premium on purchase of interest rate cap trade:

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T-3 On accounting for premium paid:

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T-4 On accounting for interest income on interest rate cap:

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T-5 On accounting of interest accrued on valuation date:

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T-6 On valuation of interest rate cap as on date:

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T-7 On reversal of interest accrual on coupon date:

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T-8 On accounting for interest income on interest rate cap:

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T-9 On accounting of interest accrued on valuation date:

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T-10 On reversal of existing net present value of interest ...

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