Suppose that the payoff from a derivative will occur in 10 y
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Suppose that the payoff from a derivative will occur in 10 years and will equal the 3-year US dollar swap rate for a sem
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Suppose that the payoff from a derivative will occur in 10 years and will equal the 3-year US dollar swap rate for a semiannual-pay swap observed at that time applied to a certain principal. Assume that the swap yield curve (used for discounting) is flat at 8% (semiannually compounded) per annum in dollars and 3% (semiannually compounded) in yen. The forward swap rate volatility is 18%, the volatility of the 10-year
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