Mathematics, 23.07.2021 04:40 yadi64
1. Assume b=0.05 is a constant for all ii in the BDT model as we assumed in the video lectures. Calibrate the ai parameters so that the model term-structure matches the market term-structure. Be sure that the final error returned by Solver is at most 10-8. (This can be achieved by rerunning Solver multiple times if necessary, starting each time with the solution from the previous call to Solver. Once your model has been calibrated, compute the price of a payer swaption with notional $1M that expires at time t=3 with an option strike of 0. You may assume the underlying swap has a fixed rate of 3.9% and that if the option is exercised then cash-flows take place at times t=4,…,10. (The cash-flow at time t=i is based on the short-rate that prevailed in the previous period, i. e. the payments of the underlying swap are made in arrears.) Submission Guideline: Give your answer rounded to the nearest integer. For example, if you compute the answer to be 10,456.67, submit 10457
Answers: 3
Mathematics, 21.06.2019 17:30
If the measure of angle 1 is 110 degrees and the measure of angle 3 is (2 x+10 degree), what is the value of x?
Answers: 2
Mathematics, 21.06.2019 19:30
At the electronics store you have a coupon for 20% off up to 2 cds you buy for cds with the original cost of $10.99 each the sales tax is 5% what is the total cost of your purchase
Answers: 1
Mathematics, 21.06.2019 22:00
Find the maximum value of p= 4x + 5y subject to the following constraints :
Answers: 3
1. Assume b=0.05 is a constant for all ii in the BDT model as we assumed in the video lectures. Cali...
Mathematics, 06.07.2020 21:01
Mathematics, 06.07.2020 21:01
Computers and Technology, 06.07.2020 21:01
Mathematics, 06.07.2020 22:01
Medicine, 06.07.2020 22:01
Computers and Technology, 06.07.2020 22:01
Mathematics, 06.07.2020 22:01
Mathematics, 06.07.2020 22:01
Biology, 06.07.2020 22:01