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Construct an interest rate swap receiving the fixed-rate payments in exchange for the floating-rate payments.
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Compute the at-the-money rate for this interest rate swap.
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Construct three swaps.
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Here are cash flows for the paying leg of your interest rate swap.
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Here are cash flows for the receiving leg of your interest rate swap.
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These are days when coupon payments are scheduled to occur.
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Price these swaptions using the Hull-White trinomial tree.
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Price your swaptions using the tree constructed above.
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You can also price these swaptions using an explicitly constructed trinomial tree.
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Price your swaptions using the second tree.
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