Question 6 [10 points]. Consider the riskneutral HoLee model for continuously compounded rates with a. step size of A : 0.5 year: 'T't+0.5 : 7'1: t 6: A t a 52;sz- U! where. under the riskneutral measure. the shock 5:435. which is realized at time t + 0.5. is given b_v J +1 with probability 0.5 CHM i *1 with probability 0.5 You observe the following information at time i'. : U: o Volatility is a : 0.02. o The price of a half year ZCB with a. face value of 100 is 98.04. 0 rThe price of a. one year ZCB with a face value of 100 is 94.20. Using the above information, calibrate your interest rate tree. \"that is 7'0, 6'3 and m5; : TO + 95 i a