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