Replace the interest rate paths from Example 6 with randomly generated paths calibrated to the same initial par and spot curves, as shown in Exhibit 31.

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EXHIBIT 31 Discount Rates Time 0 2.000% 2.000% 2.000% 2.000% 2.000% 2.000% 2.000% 2.000% Path 1 2 3 4 5 6 7 8 Time 1 2.500% 3.600% 4.600% 5.500% 3.100% 4.500% 3.800% 4.000% Time 2 4.548% 6.116% 7.766% 3.466% 8.233% 6.116% 5.866% 8.233%