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Using the spot curve, an analyst computes the following implied forward rates: Implied Forward Rates 0y1 0.50% 1y1 1.15% 2y1 1.45% 3y1 1.65% 4y1 1.70%
- Using the spot curve, an analyst computes the following implied forward rates:
| Implied Forward Rates | |
| 0y1 | 0.50% |
| 1y1 | 1.15% |
| 2y1 | 1.45% |
| 3y1 | 1.65% |
| 4y1 | 1.70% |
Construct an interest rate tree using a binomial model using ALL the implied forward rates assenting a 25% standard deviation.
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