Table 6 Price of CCIRS on different annual node (maturity =5, K =0.00909)
Year | r(t) | λ(t) | Price |
|---|---|---|---|
0 | 0.5490% | 0.6468% | 2,264.26 |
1 | 0.5301% | 0.5383% | 1,293.70 |
2 | 0.6261% | 0.6664% | 705.00 |
3 | 0.7932% | 1.0683% | 401.82 |
4 | 0.9933% | 0.8382% | 146.92 |
Year | r(t) | λ(t) | Price |
|---|---|---|---|
0 | 0.5490% | 0.6468% | 2,264.26 |
1 | 0.5301% | 0.5383% | 1,293.70 |
2 | 0.6261% | 0.6664% | 705.00 |
3 | 0.7932% | 1.0683% | 401.82 |
4 | 0.9933% | 0.8382% | 146.92 |