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backward induction

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A fund wishes to sell (write) European calls on 2-year, 4.5% coupon Treasury notes. The notes currently sell for $98.90. The one-year forward rate (r0) is 4.65 percent. The assumed one-year forward rate one year from now (r1,L) is 5.0 percent. The standard deviation is 10 percent. Fill in the seven boxes of the following binomial tree. ASSUME EACH STATE HAS A PROBABILITY OF 50% AND INTEREST IS PAID ANNUALLY. Please show the work needed to complete this problem. So, I am able to learn from it and repeat it.

Textbook used: Investment Analysis Portfolio Management, 8th edition, Reilly and Brown

Reading Assignment: attached "Interest Rate Derivatives" Document
Reading Assignment: attached "Pricing Interest Rate Derivatives" Document

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This job uses backward induction.

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Please see the attached file.\A fund wishes to sell (write) European calls on 2-year, 4.5% coupon Treasury notes. The notes currently sell for $98.90. The one-year forward rate (r0) is 4.65 percent. The assumed one-year forward rate one year from now (r1,L) is 5.0 percent. The standard deviation is 10 percent. Fill in the seven boxes of the following binomial tree. ASSUME EACH STATE HAS A PROBABILITY OF 50% AND INTEREST IS PAID ANNUALLY. Please show the work needed to complete this problem. So, I am able to learn from it and repeat it.
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