Compute the price of an American call option on the same ZCB of the previous three questions. The option has expirationt=6and strike=80.

Submission Guideline:Give your answer rounded to 2 decimal places. For example, if you compute the answer to be 73.2367%, submit 73.24.

1

point 5.

Quiz instructions

Compute the initial value of a forward-starting swap that begins att=1, with maturityt=10and a fixed rate of 4.5%. (The first payment then takes place att=2and the final payment takes place att=11as we are assuming, as usual, that payments take place in arrears.) You should assume a swap notional of 1 million and assume that you receive floating and pay fixed.)

Submission Guideline:Give your answer rounded to the nearestinteger. For example, if you compute the answer to be -220,432.23, submit -220432.