2125数理金融中等数值题medium
Caplet Quote Calibration 5
题目
A caplet PV under its natural forward measure satisfies PV = P(0,T_{i+1})*delta*B. The desk sees PV = 0.004095, accrual delta = 1, and Black factor B = 0.0045. What discount factor P(0,T_{i+1}) is implied?
解题计时
0:00
提交作答时记录，用于后续平均用时统计。
你的答案