Cash flow index |
1 |
2 |
3 |
4 |
Start date (days) |
0 |
92 |
181 |
273 |
End date (days) |
92 () |
181 () |
273 () |
365
() |
Delta (years) |
0.252055 |
0.243836 |
0.252055 |
0.252055 |
Payoff ($) |
1 |
1 |
1 |
101 |
Call Schedule (days) |
- |
181 |
273 |
365 |
Discount bond |
0.999313 |
0.998557 |
0.997293 |
0.995667 |
Black Volatility |
- |
0.337631 |
0.344218 |
0.350878 |