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Compute the initial price of a futures contract on the same ZCB of the previous two

Compute the initial price of a futures contract on the same ZCB of the previous two questions. The futures contract has an expiration oft = 4t=4.

Submission Guideline: Give your answer rounded to 2 decimal places. For example, if you compute the answer to be 73.2367%, submit 73.24.

should be answered by building ann =n=10-period binomial model for the short-rate,r_{i,j}ri,j?. The lattice parameters are:r_{0,0} = 5\%r0,0?=5%,u = 1.1u=1.1,d = 0.9d=0.9 andq =1-q = 1/2q=1-q=1/2

Jan 31 2020 View more View Less

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