PROBLEM 6

Estimate value of a put and a call option on interest rate given the following information:

Notional amount 2 500 000 USD

Strike rate on 90-day Libor is 3 %

Both options mature in 6 months

At time 0:

90-day Labor: 2.7

180-day Libor: 2.9

270 day Libor: 3.05%

360-day Libor: 3.1%

In 180 days:

90-day Labor: 2.8

180-day Libor: 2.95

270 day Libor: 3.05%

360-day Libor: 3.15%

Historical : 7%

Implied volatility: 7.5%

PROBLEM 6

Estimate value of a put and a call option on interest rate given the following information:

Notional amount 2 500 000 USD

Strike rate on 90-day Libor is 3 %

Both options mature in 6 months

At time 0:

90-day Labor: 2.7

180-day Libor: 2.9

270 day Libor: 3.05%

360-day Libor: 3.1%

In 180 days:

90-day Labor: 2.8

180-day Libor: 2.95

270 day Libor: 3.05%

360-day Libor: 3.15%

Historical : 7%

Implied volatility: 7.5%

thats all i have, if something is missing, please spesify

according to the manual, no need of strike price if there is strike interest thus this problem about interest rate option