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suppose that the libor yield curve is flat at 8 with continuous compounding the payoff from a derivative occurs in 4
suppose that the payoff from a derivative will occur in 10 years and will equal the 3-year us dollar swap rate for a
1 what is the difference between an equilibrium model and a no-arbitrage model2 suppose that the short rate is
1 suppose that a 01 and b 01 in both the vasicek and the cox ingersoll ross model in both models the initial short
repeat given problem valuing a european put option with a strike of 87 what is the put-call parity relationship between
suppose that a 005 b 008 and sigma 0015 in vasiceks model with the initial short-term interest rate being 6calculate
use the answer to problem and put-call parity arguments to calculate the price of a put option that has the same terms
in the hull-white model a 008 and sigma 001calculate the price of a 1-year european call option on a zero-coupon
suppose that a 005 and sigma 0015 in the hull-white model with the initial term structure being flat at 6 with
use a similar approach to that in problem to derive the relationship between the futures rate and the forward rate for
suppose a 005 sigma 0015 and the term structure is flat at 10 construct a trinomial tree for the hull-white model
calculate the price of a 2-year zero-coupon bond from the tree in figure and verify that it agrees with the initial
calculate the price of an 18-month zero-coupon bond from the tree in figure and verify that it agrees with the initial
what does the calibration of a one-factor term structure model involveuse the derivagem software to value 1 times 4 2
a what is the second partial derivative of pt t with respect to r in the vasicek and cir modelsb in section
1 when a bonds price is lognormal can the bonds yield be negative explain your answer2 what is the value of a european
suppose that the 1-year 2-year 3-year 4-year and 5-year zero rates are 6 64 67 69 and 7 the price of a 5-year
show that v1nbsp f v2 where v1nbspis the value of a swaption to pay a fixed rate of sknbspand receive libor between
suppose that zero rates are as in problem use derivagem to determine the value of an option to pay a fixed rate of 6
1 describe how you would a calculate cap flat volatilities from cap spot volatilities and b calculate cap spot
suppose that the libor yield curve is flat at 8 with annual compounding a swaption gives the holder the right to
use the derivagem software to value a 5-year collar that guarantees that the maximum and minimum interest rates on a
use the derivagem software to value a european swaption that gives you the right in 2 years to enter into a 5-year swap
explain whether any convexity or timing adjustments are necessary whena we wish to value a spread option that pays off
what difference does it make in problem if the swap rate is observed in 5 years but the exchange of payments takes