Solved: Use the DerivaGem software to value 1 4, 2 3, 3 2, and 4 1 European swap options
Chapter 31, Problem 31.25(choose chapter or problem)
Use the DerivaGem software to value 1 4, 2 3, 3 2, and 4 1 European swap options to receive floating and pay fixed. Assume that the 1-, 2-, 3-, 3-, and 5-year interest rates are 3%, 3.5%, 3.8%, 4.0%, and 4.1%, respectively. The payment frequency on the swap is semiannual and the fixed rate is 4% per annum with semiannual compounding. Use the lognormal model with a 5%, 15%, and 50 time steps. Calculate the volatility implied by Blacks model for each option. 3
Unfortunately, we don't have that question answered yet. But you can get it answered in just 5 hours by Logging in or Becoming a subscriber.
Becoming a subscriber
Or look for another answer