You are a fixed income fund manager and you are considering buying options on interest rate futures. The current interest rate is 6%, the interest rate futures price is 94.05, and the exercise price is 94.50. The volatility is 18% and the option has a life of 80 days. 

(a) Calculate the price of the call option on the interest rate future. 

 (b) Calculate the price of the put option on the interest rate future.

Answer rating: 100% (QA)

To calculate the price of the call option and the put option on the interest rate future we can use ... View the full answer