(a) Calculate all risk neutral probabilities.

(b) A zero-coupon bond matures at time T = 2, calculate all values of this 2-zero. That is, calculate all P (T n) for n = 0, 1, 2 and 0 sisn.

(C) For the forward contract, calculate the forward price using the n = 0 value of the zero-coupon bond P" (T - n).

(d) For the future contract, calculate the future price using the backward-induction formula for the future price.

(e) Say the returns over two time steps are now R(0,0) = 1.07 and R(1,1) R(1,0) = 1.06

(i) Calculate all risk neutral probabilities.

(ii) For the futures contract, calculate the futures price using the backward- induction formula for the futures price.

(iii) What is the forward price?