2. Using binomial interest rate trees, fill out the table below. (60 points) The first five columns are inputs. CR and Face are, respectively, the coupon rate and face value of a one-year coupon bond. y is the six- month spot rate today; we called this Oy0.5 in class. y^H is the six-month-in-six- month spot rate at the High node; we called this 0.5y0.5^H in class. y^L is the six-month-in-six-month spot rate at the Low node; we called this 0.5y0.51in class. The last three columns are outputs. P is the price of the bond today; we called this PO in class. PAH is the price of the bond at the High node; we called this P0.5^H in class. PAL is the price of the bond at the Low node; we called this P0.5AL in class I have already filled out the first row; it is the example we worked through in class (with minor differences due to rounding). The goal for this exercise is to see how these prices change as the inputs change. CR y^H YAL P PAH PAL 8% 9.952% 8.148% $100.000 $99.070 $99.929 10% 8% Face $100 $100 $125 $100 $100 $100 7.000% 7.000% 7.000% 8.750% 7.000% 7.000% 8% 9.952% 9.952% 9.952% 12.440% 9.952% 8.148% 8.148% 8.148% 8.148% 10.158% 8% 8% 2. Using binomial interest rate trees, fill out the table below. (60 points) The first five columns are inputs. CR and Face are, respectively, the coupon rate and face value of a one-year coupon bond. y is the six- month spot rate today; we called this Oy0.5 in class. y^H is the six-month-in-six- month spot rate at the High node; we called this 0.5y0.5^H in class. y^L is the six-month-in-six-month spot rate at the Low node; we called this 0.5y0.51in class. The last three columns are outputs. P is the price of the bond today; we called this PO in class. PAH is the price of the bond at the High node; we called this P0.5^H in class. PAL is the price of the bond at the Low node; we called this P0.5AL in class I have already filled out the first row; it is the example we worked through in class (with minor differences due to rounding). The goal for this exercise is to see how these prices change as the inputs change. CR y^H YAL P PAH PAL 8% 9.952% 8.148% $100.000 $99.070 $99.929 10% 8% Face $100 $100 $125 $100 $100 $100 7.000% 7.000% 7.000% 8.750% 7.000% 7.000% 8% 9.952% 9.952% 9.952% 12.440% 9.952% 8.148% 8.148% 8.148% 8.148% 10.158% 8% 8%