2123数理金融中等数值题medium
Caplet Quote Calibration 3
题目
A caplet PV under its natural forward measure satisfies PV = P(0,T_{i+1})*delta*B. The desk sees PV = 0.001323, discount factor P(0,T_{i+1}) = 0.98, and Black factor B = 0.0054. What accrual fraction delta is implied?
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