Modify Sample Application G in the DerivaGem Application Builder software to test the convergence of the price of the trinomial tree when it is used to price a two-year call option on a five-year bond with a face value of 100. Suppose that the strike price (quoted) is 100, the coupon rate is 7% with coupons being paid twice a year. Assume that the zero curve is as in Table 32.2. Compare results for the following cases:

(a) Option is European; normal model with σ = 0.01 and a = 0.05.

(b) Option is European; lognormal model with σ = 0.15 and a = 0.05.

(c) Option is American; normal model with σ = 0.01 and a = 0.05.

(d) Option is American; lognormal model with σ = 0.15 and a = 0.05.