Question: The on-the-run issue for ABC Company is shown below: Using the bootstrapping methodology, the spot rates are: Assuming an interest rate volatility of 10% for

The on-the-run issue for ABC Company is shown below: Using the

bootstrapping methodology, the spot rates are: Assuming an interest rate volatility of

The on-the-run issue for ABC Company is shown below: Using the bootstrapping methodology, the spot rates are: Assuming an interest rate volatility of 10% for the 1 -year rate, the binomial interest rate tree for valuing a bond with maturity of up to three years is shown below: f) What is the value of embedded call option for the 3 -year 8.5% callable issue? The on-the-run issue for ABC Company is shown below: Using the bootstrapping methodology, the spot rates are: Assuming an interest rate volatility of 10% for the 1 -year rate, the binomial interest rate tree for valuing a bond with maturity of up to three years is shown below: f) What is the value of embedded call option for the 3 -year 8.5% callable issue

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