1. Assume that the true 6-month rate process starts at 5% and then increases or decreases by 100 basis points every 6 months. The probability of each increase or decrease is 50%. The prices of 6-month, 1-year, and 1.5-year zeros are 97.5610,95.0908, and 92.5069. Find the risk-neutral probabilities for the six-month rate process over the next year (i.e., two steps for a total of three dates, including today). Assume, as in the note, that the risk-neutral probability of an up move from date 1 to date 2 is the same from both date 1 states. As a check to your work, write down the price trees for the 6-month, 1-year, and 1.5-year zeros. 1. Assume that the true 6-month rate process starts at 5% and then increases or decreases by 100 basis points every 6 months. The probability of each increase or decrease is 50%. The prices of 6-month, 1-year, and 1.5-year zeros are 97.5610,95.0908, and 92.5069. Find the risk-neutral probabilities for the six-month rate process over the next year (i.e., two steps for a total of three dates, including today). Assume, as in the note, that the risk-neutral probability of an up move from date 1 to date 2 is the same from both date 1 states. As a check to your work, write down the price trees for the 6-month, 1-year, and 1.5-year zeros