Use the DerivaGem software to value 1 4, 2 3, 3 2, and 4 1 European swap options to
Chapter 31, Problem 31.19(choose chapter or problem)
Use the DerivaGem software to value 1 4, 2 3, 3 2, and 4 1 European swap options to receive fixed and pay floating. Assume that the 1-, 2-, 3-, 4-, and 5-year interest rates are 6%, 5.5%, 6%, 6.5%, and 7%, respectively. The payment frequency on the swap is semiannual and the fixed rate is 6% per annum with semiannual compounding. Use the HullWhite model with a 3% and 1%. Calculate the volatility implied by Blacks model for each option.
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