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Given: N 4 years interest rate volatility 10% upward-sloping yield curve Par Curve for Annual Payment Benchmark Government Bonds Maturity Coupon Rate -0.15% 2 0.85%
Given: N 4 years interest rate volatility 10% upward-sloping yield curve Par Curve for Annual Payment Benchmark Government Bonds Maturity Coupon Rate -0.15% 2 0.85% 3 1.60% 4 2.35% Find: Construct the Binomial Interest Rate Tree What is the value on the top-right on your binomial interest rate tree (it should be the largest value)
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