>
|
|
>
|
|
| (4) |
>
|
|
| (5) |
>
|
|
| (6) |
>
|
|
| (7) |
>
|
|
| (8) |
>
|
|
| (9) |
Construct an interest rate swap receiving the fixed-rate payments in exchange for the floating-rate payment.
>
|
|
| (10) |
Compute the at-the-money rate for this interest rate swap.
>
|
|
| (11) |
Construct three swaps.
>
|
|
| (12) |
>
|
|
| (13) |
>
|
|
| (14) |
Here are cash flows for the paying leg of your interest rate swap.
>
|
|
| (15) |
Here are cash flows for the receiving leg of your interest rate swap.
>
|
|
| (16) |
These are days when coupon payments are scheduled to occur.
>
|
|
| (17) |
Set up exercise dates.
>
|
|
| (18) |
Construct three swaptions that can be exercised on any of the previous dates.
>
|
|
| (19) |
>
|
|
| (20) |
>
|
|
| (21) |
Price these swaptions using the Hull-White trinomial tree.
>
|
|
| (24) |
>
|
|
| (25) |
>
|
|
| (26) |
Price our swaptions using the tree constructed above.
>
|
|
>
|
|
>
|
|
You can also price these swaptions using an explicitly constructed trinomial tree.
>
|
|
>
|
|
| (31) |
Price the swaptions using the second tree.
>
|
|
>
|
|
>
|
|