Suppose that the 1-year, 2-year, 3-year, 4-year and 5-year LIBOR/swap zero rates are 6%, 6.4%, 6.7%, 6.9%,
Question:
a. The 5-year flat volatility for caps and floors
b. The floor rate in a zero-cost 5-year collar when the cap rate is 8%
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