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Zero Curve - IRO Examples

The Zero Curve presented below is used in conjunction with the following examples:

Interest Rate Option Functions:

 

Copy and paste this curve into the appropriate cells for each example. For the Cap, Floor, or Collar function examples that require both a discount and a reset (zero) curve, paste this curve into the appropriate cells for each.

Maturity Date

Zero Rates

Discount Factors

 

.

 

13/8/03

0.05199770

0.99986113

14/8/03

0.05279784

0.99971812

13/11/03

0.05530236

0.98637871

12/2/04

0.05521448

0.97327083

13/5/04

0.05536253

0.96021526

12/8/04

0.05612024

0.94672025

13/2/05

0.05641272

0.92049414

14/8/05

0.05699363

0.89465873

12/2/06

0.05731344

0.86961062

13/8/06

0.05782601

0.84454638

12/2/07

0.05817563

0.82012424

12/8/07

0.05866380

0.79597589

12/2/08

0.05903717

0.77219853

12/8/08

0.05948736

0.74883061

12/2/09

0.05979161

0.72618210

12/8/09

0.06018572

0.70399444

14/2/10

0.06050870

0.68198215

12/8/10

0.06090099

0.66089937

13/2/11

0.06123626

0.63986916

14/8/11

0.06163917

0.61929823

12/2/12

0.06198251

0.59944862

12/8/12

0.06237302

0.57981673

12/2/13

0.06273545

0.56057662

12/8/13

0.06315284

0.54178177

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