2121数理金融中等数值题medium

Caplet Quote Calibration 1

题目

A caplet desk prices under the natural forward measure using PV = P(0,T_{i+1})*delta*B, where B is the forward-measure Black factor. A quoted caplet PV is 0.001671, the discount factor is 0.955, and the accrual is 0.25. What Black factor B is implied?

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