4. 1
1/2
P(0,4)
P(0,3)
P(0,2)
P(0,1)
P(0,0) =
B(0)
1.02
r(0) = 1.02
time
Figure 14.1: An Example of a One-Factor Bond Price Curve Evolution. The Money Market Account Values and Spot Rates are Included on the Tree. Pseudo-Probabilities Are Along Each Branch of the Tree.

13. Figure 14.2: An Example of a European Digital Call Option's Values with Strike k = .02 and Expiration Date T = 2 on the Simple Interest Rate with Time to Maturity T* = 2. The Synthetic Option Portfolio in the Money Market Account and the Four-Period Zero-Coupon Bond (n0(t;st), n4(t;st)) Is Given Under Each Note.

19. 1
1/2
P(0,4)
P(0,3)
P(0,2)
P(0,1)
P(0,0) =
B(0)
1.02
r(0) = 1.02
time
Figure 14.1: An Example of a One-Factor Bond Price Curve Evolution. The Money Market Account Values and Spot Rates are Included on the Tree. Pseudo-Probabilities Are Along Each Branch of the Tree.

21. (1/ – 1)/2 =
(1/ – 1)/2 = *
(1/ – 1)/2 = *
(1/ – 1)/2 =
(1/ – 1)/2 = * *
(1/ – 1)/2 =
(1/ – 1)/2 =
time 1 2
Figure 14.3: An Example of the Evolution of a Simple Interest Rate of Maturity 2. An Asterisk "*" Denotes that the Simple Interest Rate Lies Between kl = .018 and ku = .022.

24. time 1 2 3
Figure 14.4: An Example of a Range Note with Maturity T = 3, Principal L = 100, Lower Bound kl = .018, Upper Bound ku = .022 on the Simple Interest Rate with Maturity T* = 2. At Each Node: The First Number is the Value (N(t;st)), the Second Number is the Cash Flow (cash flow(t;st)). The Synthetic Range Note in the Money Market Account and the Four-Period Zero-Coupon Bond (n0(t;st), n4(t;st)) is Given Under Each Node.

34. 1
1/2
P(0,4)
P(0,3)
P(0,2)
P(0,1)
P(0,0) =
B(0)
1.02
r(0) = 1.02
time
Figure 14.1: An Example of a One-Factor Bond Price Curve Evolution. The Money Market Account Values and Spot Rates are Included on the Tree. Pseudo-Probabilities Are Along Each Branch of the Tree.

36. time 1 2 3
Figure 14.5: An Example of the Cash Flows from an Index Amortizing Swap with Maturity T = 3, Initial Principal L0 = 100, Lockout Period T* = 1, Which Amortizes 50 Percent of the Principal if r(t;st) <

39. time 1 2 3
Figure 14.6: An Example of an Index Amortizing Swap with Maturity T = 3, Initial Principal L0 = 100, Lockout Period T* = 1, Which Amortizes 50 Percent of the Principal if r(t;st) < The First Number is the Value, the Second is the Cash Flow. The Synthetic Index Amortizing Swap Portfolio in the Money Market Account and Three-Period Zero-Coupon Bond (n0(t;st), n3(t;st)) is Given Under Each Node.