What is the payoff at maturity

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Reference no: EM132007705

Consider a European call option on the 3-month LIBOR rate. The LIBOR rate 3-months before maturity of the option is 2.1129% per year compounded quarterly. What is the payoff at maturity if the strike rate is 1.5% and the notional principal is $1,000,000? Round your answer to the nearest dollar.

Reference no: EM132007705

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