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Compute the price of a forward contract on the same ZCB of the previous question where the forward contract matures at time t=4. n = 10-period...

Compute the price of a forward contract on the same ZCB of the previous question where the forward contract matures at time t=4.


n
=
10-period binomial model for the short-rate, ri,j. The lattice parameters are: r0,0=5%u=1.1d=0.9 and q=1q=1/2.

previous price of ZCB = 61.39.

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1 comment
  • the question asks for the price of the forward contract not the zcb, can you please post the correct answer?
    • ErrikaP
    • Jul 20, 2016 at 12:01pm

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