Consider the risk-neutral Ho-Lee model for continuously compounded rates with a step size of A = 1 year: T+1 = + 0 A+ o +1 where, under the risk-neutral measure, the shock 1+1, which is realized at time t+1, is given by 1+1 = S+ +1 with probability 0.5 -1 with probability 0.5 You observe the following information at time t = 0: Volatility is o = 0.015. The price of an one year ZCB with a face value of 100 is 98.04. The price of a two year ZCB with a face value of 100 is 94.26. Using the above information, calibrate your interest rate tree. What is ro, 0 and r,+ ro + 0 o? =