should be answered by building and calibrating a 10-period Black-Derman-Toy model for the short-rate, r_{i,j}ri,j. You may assume that the term-structure of interest rates observed in the market place is:

Period 1 2 3 4 5 6 7 8 9 10

Spot Rate 3.0% 3.1% 3.2% 3.3% 3.4% 3.5% 3.55% 3.6% 3.65% 3.7%

As in the video modules, these interest rates assume per-period compounding so that, for example, the market-price of a zero-coupon bond that matures in period 66 is Z_0^6 = 100/(1+.035)^6 = 81.35Z06=100/(1+.035)6=81.35 assuming a face value of 100.

Repeat the previous question but now assume a value of b = 0.1b=0.1.

Submission Guideline: Give your answer rounded to the nearest integer. For example, if you compute the answer to be 10,456.67, submit 10457