urgent please

Modelling of Bonds, Term Structure and Interest Rate Derivatives Coursework Assignment 2 2.1. Historical simple forward rates R(T.TX) (in fact GBP LIBOR rates recorded during a six-month period in 2010) are given in the following table (this is part of the same table as in Coursework Assignment 1. Question 13): Tollam 71 (1 Feb) 0.61626% 7(1 Mar) 0.1250% 75 (1 Apr 0.60335 7. (May) 0.60000 7 (1) 0.76663) 7 (1) 0.8413895 Taking the initial term structure of forward rates implied by these simple forward rates and assuming that the volatility of the forward rates is constant and equal to 0.85%, construct an Excel spreadsheet to compute the trees of forward rates and the corresponding unit bond prices in the discrete Heath-Jarrow-Morton model with 6 time steps of one month each. starting at the beginning of January 2010. All formulae used in the Excel spreadsheet need to be stated and explained in the accompanying lyx file, and any formulae not in the lecture notes need to be derived. (50 marks) Hint: Assume for simplicity that the 1st day of each month was a trading day. Also assume that unit bonds with maturities matching the tenors of the quoted rates were freely tradable at prices consistent with these rates. 2.2. Fix any trading date t in a discrete Ho-Lee model with horizon T = x (a) Give an explicit formula for the instantaneous forward rate SUS) 1, B(1, S+1) 1 In Bil.S) for t 1 and that lim (0.5) exists, and compute the S- limit lim (S), (20 marks) Modelling of Bonds, Term Structure and Interest Rate Derivatives Coursework Assignment 2 2.1. Historical simple forward rates R(T.TX) (in fact GBP LIBOR rates recorded during a six-month period in 2010) are given in the following table (this is part of the same table as in Coursework Assignment 1. Question 13): Tollam 71 (1 Feb) 0.61626% 7(1 Mar) 0.1250% 75 (1 Apr 0.60335 7. (May) 0.60000 7 (1) 0.76663) 7 (1) 0.8413895 Taking the initial term structure of forward rates implied by these simple forward rates and assuming that the volatility of the forward rates is constant and equal to 0.85%, construct an Excel spreadsheet to compute the trees of forward rates and the corresponding unit bond prices in the discrete Heath-Jarrow-Morton model with 6 time steps of one month each. starting at the beginning of January 2010. All formulae used in the Excel spreadsheet need to be stated and explained in the accompanying lyx file, and any formulae not in the lecture notes need to be derived. (50 marks) Hint: Assume for simplicity that the 1st day of each month was a trading day. Also assume that unit bonds with maturities matching the tenors of the quoted rates were freely tradable at prices consistent with these rates. 2.2. Fix any trading date t in a discrete Ho-Lee model with horizon T = x (a) Give an explicit formula for the instantaneous forward rate SUS) 1, B(1, S+1) 1 In Bil.S) for t 1 and that lim (0.5) exists, and compute the S- limit lim (S), (20 marks)