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21 GD 2 The following table is the risk-neutral interest rate tree from Ho-Lee model. The delta (time step) is 0.5 year. RN Interest rate
21 GD 2 The following table is the risk-neutral interest rate tree from Ho-Lee model. The delta (time step) is 0.5 year. RN Interest rate tree i= 0 1 2 1.74% 3.71% 5.94% 1.27% 3.49% 1.04% Consider a 1.5-year fixed-for-floating swap, defined on the 6-month T-bill rate and with semi-annual payments. If the swap rate is 4% and notional 100, what is the value of the swap using Ho-Lee model tree? (the value of the swap is not zero) Please write your answer in two decimal places. 21 GD 2 The following table is the risk-neutral interest rate tree from Ho-Lee model. The delta (time step) is 0.5 year. RN Interest rate tree i= 0 1 2 1.74% 3.71% 5.94% 1.27% 3.49% 1.04% Consider a 1.5-year fixed-for-floating swap, defined on the 6-month T-bill rate and with semi-annual payments. If the swap rate is 4% and notional 100, what is the value of the swap using Ho-Lee model tree? (the value of the swap is not zero) Please write your answer in two decimal places
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