这道题的第二问我实在算不出来,哪位高人帮帮忙吧 
Let the time-t proportional volatility for the forward LIBOR rate for the period
Ti₋1 to Ti be
σi(t) = 0.15 + 0.04(Ti₋1 - t)
where T is measured in years.
Find the volatility at t = 0 of the caplet that covers the period 1 to 2 years.
Find the price at t = 0 of the above caplet if it has a ’strike’ rate of 1.5%,
and the current forward rate is also 1.5%.
[ 编辑 axlrabe 在 09-04-25 23:39 ]
[ 编辑 axlrabe 在 09-04-25 23:40 ]
没有人能帮忙吗 
我term structure的model没有学好…
真是烦人的题目 
向mm推荐baxter and rennie的textbook， 里面说的很好…
我BS这个model是里面学的…
今天本来要看term structure的， 可惜在家里slack了， 我guilty了…