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=1.1, d=0.9 and q=1−q=1/2.
previous price of ZCB = 61.39.
1. Calculation of price of zero coupon bond. Maturity value =... View the full answer
- the question asks for the price of the forward contract not the zcb, can you please post the correct answer?
- Jul 20, 2016 at 12:01pm