(a) The following is a Black-Derman-Toy tree with each period being one year: 0.0382 0.0355 0.0323 0.0344 0.030 0.0312 0.0298 0.0309 0.0275 0.0278 (i) Construct a binomial tree of six-month zero-coupon bond prices. (4 marks) (ii) From (i), calculate the one-year forward rate, expressed as an annual effective nterest rate, on a one-year zero-coupon bond. Show all workings. (6 marks) (iii) A European call option allows the purchase of an 18-month zero-coupon bond at the end of six months for 0.95. Maggie bought 100 of the call options. Determine the price that Maggie has to pay for the options. (2 marks) (a) The following is a Black-Derman-Toy tree with each period being one year: 0.0382 0.0355 0.0323 0.0344 0.030 0.0312 0.0298 0.0309 0.0275 0.0278 (i) Construct a binomial tree of six-month zero-coupon bond prices. (4 marks) (ii) From (i), calculate the one-year forward rate, expressed as an annual effective nterest rate, on a one-year zero-coupon bond. Show all workings. (6 marks) (iii) A European call option allows the purchase of an 18-month zero-coupon bond at the end of six months for 0.95. Maggie bought 100 of the call options. Determine the price that Maggie has to pay for the options. (2 marks)