Suppose you generate a 5-year binomial interest rate tree using the information about the term structure presented below (you can click on this an open an Excel file Mat par rate spot Forward 3.000% 3.250% 3.500% 4.000% 4.500% 3.00% 3.2541% 3.51183% 4.04143% 4.58589% 3.00% 3.5088% 4.0293% 5.6465% 6.7923% 2 4 5 You compute the value of a 5-year annual-pay 6% coupon bond (par value is 100) that is callable in one year (and every year thereafter) at par. The current value (Time 0) of this callable bond is 102.639. Question 1 Calculate the value (at Time 0) of the embedded call option Suppose you generate a 5-year binomial interest rate tree using the information about the term structure presented below (you can click on this an open an Excel file Mat par rate spot Forward 3.000% 3.250% 3.500% 4.000% 4.500% 3.00% 3.2541% 3.51183% 4.04143% 4.58589% 3.00% 3.5088% 4.0293% 5.6465% 6.7923% 2 4 5 You compute the value of a 5-year annual-pay 6% coupon bond (par value is 100) that is callable in one year (and every year thereafter) at par. The current value (Time 0) of this callable bond is 102.639. Question 1 Calculate the value (at Time 0) of the embedded call option