Question # 2 (10 Points): WORK DETAIL IS REQUIRED FOR THIS QUESTION. Suppose you are asked to design and price a 2-year zero-coupon Redeemable Note with a Face Value of $100. The underlying Equity Index currently (t=0) stands at 1,500. Let Xdenote the signed (not absolute) percentage return of the Index (percent rounded to 0 decimal) from now to the end of two years. The Note's $Payoff at maturity per $100 of Face Value is $100 + 0.89 X, but subject to a Minimum Payoff of $62 and a Maximum Payoff of $190. The Note Buyer has the choice of redeeming the note for M=87% (% rounded to two decimals) of face value in one year time (at t=1); if redeemed at t=1, there will be no further payoff at maturity. The constant continuously compounded risk-free rate (r) is 6.00% per annum. Use At (Binomial time step) = 1.0 year. Market prices indicate that conventional one-year maturity At The Money Call option on the index has One- Step Binomial Delta of +0.622460. [The Binomial Tree's u =1/d, and u = exp(+0\\/At), where o is the underlying Index Volatility, in decimal, per annum]. Using the Binomial Model, calculate the value (now at t=0) of the Structured Note with all its features included. Calculate separately the value (now at t=0) of the Redeemable feature by itself. \\w 03