Exercise 25.2.6 Consider a yield curve option with payoff max(0, r (T, T1)−

r (T, T2)) at expiration T, where T < T1 and T < T2. The security is based on the yield spread of two different maturities, T1 −T and T2 −T. Assume either the Vasicek or the CIR model. Show that this option is equivalent to a portfolio of caplets on the (T2 −T)-year spot rate.