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Basic Question 6 of 12
The Black model uses the ______ as the underlying rate to value an interest rate option.
B. spot LIBOR
C. forward rate
A. FRA rate
B. spot LIBOR
C. forward rate
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I used your notes and passed ... highly recommended!
Lauren
Learning Outcome Statements
describe how the Black model is used to value European options on futures;
describe how the Black model is used to value European interest rate options and European swaptions;
CFA® 2025 Level II Curriculum, Volume 5, Module 32.