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Questions 2 Building an n=10-period binomial model for the short-rate, ri,j. The lattice parameters are: r0,0=5%, u=1.1, d=0.9 and q=1q=1/2. Q1. Compute the price of
Questions 2
Building an n=10-period binomial model for the short-rate, ri,j. The lattice parameters are: r0,0=5%, u=1.1, d=0.9 and q=1q=1/2. Q1.
Compute the price of a forward contract on the same ZCB of the previous question where the forward contract matures at time t=4.
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