3. What is the price of a 3-year interest rate cap with an 11.5% (effective annual) cap...
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3. What is the price of a 3-year interest rate cap with an 11.5% (effective annual) cap rate?
For the first three problems, use the following information:
Bond maturity (years) 1 2 3 4 Bond price 0.9259 0.8495 0.7722 0.7020 1-year forward price volatility 0.1000 0.1050 0.1100
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Related Book For 
Derivatives Markets Pearson New International Edition
ISBN: 978-1292021256
3rd Edition
Authors: Robert L. Mcdonald
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