Question 2b. ) What is the price of a 1.5-year floor with a strike of 3% and a notional of $100?

(Cap is a portfolio of caplets and floor is portfolio of floorlets)

0.020202 0.041596 0.053025 0.020056 0.031364 0.009932 t=0 t = 0.5 t = 1 1. Using the tree above, calculate the price of a 1.5-year bond with a coupon rate of 3% (coupons paid semi-annually) and a face value of $100. 2. Calculate the price of a 1.5-year cap with a strike of 3% and a notional of $100. 0.020202 0.041596 0.053025 0.020056 0.031364 0.009932 t=0 t = 0.5 t = 1 1. Using the tree above, calculate the price of a 1.5-year bond with a coupon rate of 3% (coupons paid semi-annually) and a face value of $100. 2. Calculate the price of a 1.5-year cap with a strike of 3% and a notional of $100