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Create a calibrated 4-year binary interest rate tree from the data below. What is the calibrated rate at node NAHL, i.e. the one-year forward rate
Create a calibrated 4-year binary interest rate tree from the data below. What is the calibrated rate at node NAHL, i.e. the one-year forward rate in year four if rates move higher, higher, then lower Yield Curve Data Par Value: Pmt Frequency: Vol (%): 100.00 1.00 per year 25.00 Period Maturity Par Value (%) Coupon (s.a.) 1.100% 1.250% 2.000% 2.150% 2.450% 2.950% 3.050% 3.250% 3.450% 3.500% 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 Price Par Rate (% of Par) (Annual Pay) 99.000 2.121% 98.000 2.284% 97.950 2.721% 97.250 2.888% 96.600 3.197% 96.450 3.619% 95.150 3.854% 94.050 4.139% 93.000 4.409% 91.450 4.585% Create a calibrated 4-year binary interest rate tree from the data below. What is the calibrated rate at node NAHL, i.e. the one-year forward rate in year four if rates move higher, higher, then lower Yield Curve Data Par Value: Pmt Frequency: Vol (%): 100.00 1.00 per year 25.00 Period Maturity Par Value (%) Coupon (s.a.) 1.100% 1.250% 2.000% 2.150% 2.450% 2.950% 3.050% 3.250% 3.450% 3.500% 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 Price Par Rate (% of Par) (Annual Pay) 99.000 2.121% 98.000 2.284% 97.950 2.721% 97.250 2.888% 96.600 3.197% 96.450 3.619% 95.150 3.854% 94.050 4.139% 93.000 4.409% 91.450 4.585%
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