P(T1, T2) - F(t, T1: T2) P(T1, T2) F(t, T1: T2) F(t, T1: T2) Figure 3.1: Payoff Diagram for a Forward Contract with Delivery.

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P(T1, T2) - F(t, T1: T2) P(T1, T2) F(t, T1: T2) F(t, T1: T2) Figure 3.1: Payoff Diagram for a Forward Contract with Delivery Date T1 on a T2-maturity Zero-coupon Bond

C(T1, T1, K: T2) = max [P(T1, T2) - K, 0] Figure 3.2: Payoff Diagram for a European Call Option on the T2-maturity Zero-coupon Bond with Strike K and Expiration Date T1

P(T1, T2, K: T2) = max [K - P(T1, T2), 0] Figure 3.3: Payoff Diagram for a European Put Option on the T2-maturity Zero-coupon Bond with Strike K and Expiration Date T1

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