QP:
http://www.actuariesindia.org/Downloads/exampapers/Nov-2012/ST6_QP.pdf
Solution:
http://www.actuariesindia.org/downloads/exampapers/Nov-2012/ST6_1112.pdf
Acted Tutors,
When we are dealing with cap valuation, the notes state that payment on the each reset date is based on the the interest rates existing in the previous reset date. Why does the solution attempt to price two cap payoffs instead of 1? At the first payment date, the payoff is completely predictable, isn't it?!! 
Sorry for the urgent title. I have my exam the day after and these solutions are totally getting into my nerves
Last edited: May 28, 2013
