r(0,0)

u
d
q=(1-q)

Option
Strike
t

5%
1.1
0.9
0.5
Short-term rate lattice
0
10
9
8
7
6
5
4
3
2
1
0
5%

80
6

5.50%
4.50%

6.05%
4.95%
4.05%

6.66%
5.45%
4.46%
3.65%

7.32%
5.99%
4.90%
4.01%
3.28%

0.6384
0.6910
0.7378
0.7789

0.6556
0.7062
0.7510
0.7903
0.8242

ZCB lattice
0
10
9
8
7
6
5
4
3
2
1
0

0.6162

0.6197
0.6744

0.6268
0.6807
0.7288

Forward lattice
5

8.05%
6.59%
5.39%
4.41%
3.61%
2.95%

0.6797
0.7274
0.7695
0.8062
0.8378
0.8647

8.86%
7.25%
5.93%
4.85%
3.97%
3.25%
2.66%

0.7126
0.7562
0.7945
0.8276
0.8559
0.8801
0.9005

9.74%
7.97%
6.52%
5.34%
4.37%
3.57%
2.92%
2.39%

0.7568
0.7946
0.8274
0.8557
0.8797
0.9001
0.9172
0.9316

10.72%
8.77%
7.17%
5.87%
4.80%
3.93%
3.22%
2.63%
2.15%

9
11.79%
9.65%
7.89%
6.46%
5.28%
4.32%
3.54%
2.89%
2.37%
1.94%

0.8158
0.8453
0.8706
0.8922
0.9105
0.9258
0.9387
0.9494
0.9583

0.8945
0.9120
0.9269
0.9393
0.9498
0.9586
0.9658
0.9719
0.9769
0.9810

10
12.97%
10.61%
8.68%
7.10%
5.81%
4.75%
3.89%
3.18%
2.60%
2.13%
1.74%

10
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000

4
3
2
1
0
Forward price =

Futures lattice
4
3
2
1
0
Futures price =

orward lattice
0

0.8229

orward price =

0.8517
0.8764

0.8892
0.9079
0.9237

0.9376
0.9484
0.9574
0.9648

0.7047
0.7496
0.7890

0.6809
0.7286
0.7707
0.8073

4
1.0000
1.0000
1.0000
1.0000
1.0000

74.8848

utures lattice
0

0.7482

utures price =

0.7272
0.7693
74.8246

4
0.6556
0.7062
0.7510
0.7903
0.8242

r(0,0)
u
d
q=(1-q)

Option
Strike
t

5%
1.1
0.9
0.5
Short-term rate lattice
0
10
9
8
7
6
5
4
3
2
1
0
5%

0.8
6

5.50%
4.50%

6.05%
4.95%
4.05%

6.66%
5.45%
4.46%
3.65%

7.32%
5.99%
4.90%
4.01%
3.28%

0.6384
0.6910
0.7378
0.7789

0.6556
0.7062
0.7510
0.7903
0.8242

ZCB lattice
0
10
9
8
7
6
5
4
3
2
1
0

0.6162

0.6197
0.6744

0.6268
0.6807
0.7288

Swap
Fixed rate

Swaption
Strike
t

4.50%

0
5

American call lattice

5

8.05%
6.59%
5.39%
4.41%
3.61%
2.95%

8.86%
7.25%
5.93%
4.85%
3.97%
3.25%
2.66%

9.74%
7.97%
6.52%
5.34%
4.37%
3.57%
2.92%
2.39%

10.72%
8.77%
7.17%
5.87%
4.80%
3.93%
3.22%
2.63%
2.15%

11.79%
9.65%
7.89%
6.46%
5.28%
4.32%
3.54%
2.89%
2.37%
1.94%

0.8158
0.8453
0.8706
0.8922
0.9105
0.9258
0.9387
0.9494
0.9583

0.8945
0.9120
0.9269
0.9393
0.9498
0.9586
0.9658
0.9719
0.9769
0.9810

0.6797
0.7274
0.7695
0.8062
0.8378
0.8647

0.7126
0.7562
0.7945
0.8276
0.8559
0.8801
0.9005

0.7568
0.7946
0.8274
0.8557
0.8797
0.9001
0.9172
0.9316

10
12.97%
10.61%
8.68%
7.10%
5.81%
4.75%
3.89%
3.18%
2.60%
2.13%
1.74%

10
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000

6
5
4
3
2
1
0
Swap lattice
10
9
8
7
6
5
4
3
2
1
0
Initial value swap =
Swaption lattice
5
4
3
2
1
0
Swaption value =

merican call lattice

0

0.0236

0.0156
0.0339

0.0084
0.0245
0.0465

0.0029
0.0149
0.0364
0.0603

0.0000
0.0062
0.0253
0.0508
0.0742

0.0000
0.0000
0.0131
0.0400
0.0656
0.0877

6
0.0000
0.0000
0.0000
0.0276
0.0559
0.0801
0.1005

0.1666
0.1146
0.0689
0.0292
-0.0050
-0.0341
-0.0588
-0.0796

0.1524
0.1083
0.0698
0.0366
0.0082
-0.0159
-0.0362
-0.0533
-0.0675

wap lattice

0.0724
-0.0023

nitial value swap =

0.1026
0.0301
-0.0348

0.1282
0.0583
-0.0042
-0.0593

0.1486
0.0819
0.0223
-0.0301
-0.0757

0.1626
0.0998
0.0439
-0.0052
-0.0477
-0.0842

0.0891
0.0421
0.0100
0.0000

0.1223
0.0678
0.0209
0.0000
0.0000

0.1692
0.1112
0.0598
0.0149
-0.0239
-0.0571
-0.0854

33374.2421

waption lattice
0

0.0263

waption value =

0.0411
0.0142
26311.0795

0.0619
0.0248
0.0048

5
0.1626
0.0998
0.0439
0.0000
0.0000
0.0000

9
0.1234
0.0897
0.0605
0.0356
0.0145
-0.0033
-0.0183
-0.0308
-0.0412
-0.0498

10
0.0750
0.0552
0.0385
0.0243
0.0124
0.0024
-0.0059
-0.0128
-0.0185
-0.0232
-0.0271