Given the market price of the caplet is $209,801.727, and using the following inputs for the caplet

Question:

Given the market price of the caplet is $209,801.727, and using the following inputs for the caplet (notional $100 million, strike rate k = 4 percent, maturity 1 year, six- month bbalibor i(0,1) = 0.421 with δ = 0.4986, B(0,T + δ) = $0.95) compute the implied average forward rate volatility over the caplet’s life.

Maturity
Maturity is the date on which the life of a transaction or financial instrument ends, after which it must either be renewed, or it will cease to exist. The term is commonly used for deposits, foreign exchange spot, and forward transactions, interest...