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Problem: You are given the par curve for three key tenors: Assuming interest rate volatility of 20%, use binomial interest rate tree model to price

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Problem: You are given the par curve for three key tenors: Assuming interest rate volatility of 20%, use binomial interest rate tree model to price Group 1: Bermudian callable bond (callable at par), having maturity of 3 years, 3% coupon rate, annual payments, 100 par value. Group 2: Bermudian putable bond (putable at par), having maturity of 3 years, 3% coupon rate, annual payments, 100 par value. Group 3: Capped floater (cap is 3\%), having maturity of 3 years, annual payments, 100 par value. Group 4: Floored floater (floor is 2% ), having maturity of 3 years, annual payments, 100 par value. Group 5: Plain-Vanilla bond, having maturity of 3 years, 4% coupon rate, annual payments, 100 par value

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