(b) You are given the followings for zero-coupon bonds: Years to maturity(n) 1 2 3 4 n-year spot rate 5.5% 5.87% 6.17% 6.37% Volatility of n - 1-year forward on 1-year bond 0.15 0.20 0.22 Using the Black formula, determine the cost of a 3-year cap at 8% on a notional amount of 1. (10 marks) (b) You are given the followings for zero-coupon bonds: Years to maturity(n) 1 2 3 4 n-year spot rate 5.5% 5.87% 6.17% 6.37% Volatility of n - 1-year forward on 1-year bond 0.15 0.20 0.22 Using the Black formula, determine the cost of a 3-year cap at 8% on a notional amount of 1. (10 marks)