作者howtodowell (well)
看板CFAiafeFSA
标题[问题] caplet
时间Tue Oct 26 15:44:42 2010
ASM p309. Quiz 16-2
A caplet for the quarterly interest payment due at the end of 9 months has
a strike price of 2%;it pays the excess of quarterly interest rate(not
annualized)over 2%.You are given:
(1)The price of a 6-month zero-coupon bond is 0.974.
(2)The 6-month forward price of a 3-month bond is 0.986.
(3)The annual volatility of a 6-month forward on a 3-month bond is 0.1.
Determine the price of the caplet using the black formula.
Ans:The strike price is (1/(1+0.02))=0.980392
我想请问为什麽在算执行价时 不用年化的利率
那我如果把题目改成半年付一次利息a caplet due at the end of the year
那我是否在算执行价时 就要用半年的利率
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1F：推 a8704661515:可以看一下前面19.2推导的过程就知道为什麽了:P 10/26 16:36
2F：推 a8704661515:阿阿 是16.2 SORRY 10/26 16:44