An investor is considering taking the following position. (i) Purchase $2 million of 5-year, 9% caps, for a premium of 200 basis points times $2 million (ii) Write $2 million of 5-year, 9% floors, for a premium of 200 basis points times $2 million (iii) Enter into a 5-year swap where the investor receives a fixed 9% interest on $2 million and pays a counterparty LIBOR + 150 basis points on $2 million. What is the total cash cost for establishing this position?



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