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Compute the price of a forward contract on 61.62(price of ZCB) where the forward contract matures at time t = 4 n =n=10-period binomial model
Compute the price of a forward contract on 61.62(price of ZCB) where the forward contract matures at time t = 4
n =n=10-period binomial model for the short-rate, r_{i,j}ri,j. The lattice parameters are: r_{0,0} = 5\%r0,0=5%, u = 1.1u=1.1, d = 0.9d=0.9 and q =1-q = 1/2q=1q=1/2.
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