Question: 2. Binomial Tree Pricing Time 0 0.5 1 Period i D 1 2 J 0 2.33% 5.1042% 7.0284% 1 2.28% 4.2% 2 1.3716% With probability

2. Binomial Tree Pricing Time 0 0.5 1 Period i D 1 2 J 0 2.33% 5.1042% 7.0284% 1 2.28% 4.2% 2 1.3716% With probability of " up " movement p=0. 6 Maturity 0.5 1 1.5 2 yield ' 2.33% ' 3.073294. ' 3.681596 '_ 4.3035% A modified index amortizing swap (henceforth, the swap) is a swap whose notional value decreases over time depending on the interest rate scenario. Consider the index amortizing swap with initial notional Nb = 100 with the following characteristics: 1. ii. iii. iv. Maturity i=2 Amortization schedule: a. If r.,

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