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Use the following binomial tree to value a floating-rate note (floater) with a cap of 7.4% and a floor of 5.2%: r0 (4.1000%), r1,H (6.0560%),

Use the following binomial tree to value a floating-rate note (floater) with a cap of 7.4% and a floor of 5.2%: r0 (4.1000%), r1,H (6.0560%), r1,L (5.0217%), r2,HH (7.6633%), r2,HL (6.3376%), r2,LL (5.2523%), r3,HHH (9.8946%), r3,HHL (8.1645%), r3,HLL (6.7479%), and r3,LLL (5.5882%). This floater has a maturity of 4 years and a par value of $100. Coupons are paid annually on this floater, and they are paid in arrears, i.e., the coupon rate is set at the beginning of the period, but the coupon is actually paid at the end of the period.

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