[問題] caplet
看板CFAiafeFSA (精算師/基金經理人/銀行家)作者howtodowell (well)時間15年前 (2010/10/26 15:44)推噓2(2推 0噓 0→)留言2則, 1人參與討論串1/1
ASM p309. Quiz 16-2
A caplet for the quarterly interest payment due at the end of 9 months has
a strike price of 2%;it pays the excess of quarterly interest rate(not
annualized)over 2%.You are given:
(1)The price of a 6-month zero-coupon bond is 0.974.
(2)The 6-month forward price of a 3-month bond is 0.986.
(3)The annual volatility of a 6-month forward on a 3-month bond is 0.1.
Determine the price of the caplet using the black formula.
Ans:The strike price is (1/(1+0.02))=0.980392
我想請問為什麼在算執行價時 不用年化的利率
那我如果把題目改成半年付一次利息a caplet due at the end of the year
那我是否在算執行價時 就要用半年的利率
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