If the assumed volatility is changed as Black requested in Task 4, the forward rates shown in

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If the assumed volatility is changed as Black requested in Task 4, the forward rates shown in Exhibit 3 will most likely :

A . spread out.

B . remain unchanged.

C . converge to the spot rates.

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Fixed Income Analysis

ISBN: 9788126563128

3rd Edition

Authors: Barbara S. Petitt, Jerald E. Pinto, Wendy L. Pirie, Bob Kopprasch

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