The following table summarizes the initial forward curve for three half-year periods and the initial volatility curve
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The following table summarizes the initial forward curve for three half-year periods and the initial volatility curve at t = 0. Compute the two forward curves at time t = 0.5 and the three forward curves at time t = 1.
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(0, T) (0,0) (0,0.5) (0,1) f(0, T) 0.04 0.045 0.05 o (T) 0.015 0.012
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To compute the forward curves at time t 05 and t 1 you can use the following formulas 1 Forward C...View the full answer
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