2. Let the 3m, 6m and 9m LIBOR rates be 5%, 5.1% and 5.15%, respectively. 2.1. Construct a two-period risk-neutralized interest-rate tree under the Ho-Lee model, Ar; = 0.0025A7 +0.005/At g, with At = 0.25. 2.2. Calculate forward rate r2(0). 2.3. Calculate the futures rate (0). 2.4. Long one unit of FRA with 6m maturity and $10m notional and hedge it with ED futures of the same maturity. Provide the number of ED futures required for hedging, indicating whether to long or short ED futures (Note: an ED futures has $1m notional value). 2. Let the 3m, 6m and 9m LIBOR rates be 5%, 5.1% and 5.15%, respectively. 2.1. Construct a two-period risk-neutralized interest-rate tree under the Ho-Lee model, Ar; = 0.0025A7 +0.005/At g, with At = 0.25. 2.2. Calculate forward rate r2(0). 2.3. Calculate the futures rate (0). 2.4. Long one unit of FRA with 6m maturity and $10m notional and hedge it with ED futures of the same maturity. Provide the number of ED futures required for hedging, indicating whether to long or short ED futures (Note: an ED futures has $1m notional value)