Consider a 3-year, 5.5% annual coupon bond represented by the binomial interest rate tree below. The bond is putable at par starting at the end of year 1. The one-year benchmark implied forward rates are provided for one node of each year of the bond. The bonds OAS is 25 basis points. Assume that the interest rate volatility = 15%. What is the value of the bond today, V0?

Consider a 3-year, 5.5% annual coupon bond represented by the binomial interest rate tree below. The bond is stable at par starting at the end of year 1. The one-year benchmark implied forward rates are provided for one node of each year of the bond. The bond's OAS is 25 basis points. Assume that the interest rate volatility = 15% What is the value of the bond today. VO? V100 C-5.5 V2.0 C-5.5 12 V C-5.5 11 V-100 C-5.5 Vo io = 3.0000% V2.AL C5.5 12.NL V. C-5.5 112= 3.5000% V100 C=5.5 V2 C-5.5 12.4.1000% V-100 C 5.5 Time 0 Time - 1 Time=2 Time 3 A 102.218 3.100.880 C 103.496 Consider a 3-year, 5.5% annual coupon bond represented by the binomial interest rate tree below. The bond is stable at par starting at the end of year 1. The one-year benchmark implied forward rates are provided for one node of each year of the bond. The bond's OAS is 25 basis points. Assume that the interest rate volatility = 15% What is the value of the bond today. VO? V100 C-5.5 V2.0 C-5.5 12 V C-5.5 11 V-100 C-5.5 Vo io = 3.0000% V2.AL C5.5 12.NL V. C-5.5 112= 3.5000% V100 C=5.5 V2 C-5.5 12.4.1000% V-100 C 5.5 Time 0 Time - 1 Time=2 Time 3 A 102.218 3.100.880 C 103.496