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Price a 3-year, 4% annual coupon, $1000 par bond putable at par in year 1 and year 2, using the following calibrated interest rate model.
Price a 3-year, 4% annual coupon, $1000 par bond putable at par in year 1 and year 2, using the following calibrated interest rate model.
Assume annual compounding. Round your answer to 2 decimal places.
t = 0
t = 1
t = 2
r_2,HH = 6.4%
r_1,H = 3.5%
r_0 = 1.3%
r_2,HL = 4.4%
r_1,L = 3%
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Handbook Of Short Selling
Authors: Greg N. Gregoriou
1st Edition
0123877245, 978-0123877246
