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Calculation the 1-year forward rate for year two at Ny in the figure below. Assume a 22% vol and lognormal distribution with a stationary variance.
Calculation the 1-year forward rate for year two at Ny in the figure below. Assume a 22% vol and lognormal distribution with a stationary variance. The other rates are already calibrated. Vol: 22.000% 3.000% 2.500%
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