check the spot price under risk-neutral measure is compatible with the initial forward curve,要考试了,大家帮下忙
columns 1,3,5 is spot price at time t0,t1,t2. and columns 2,4 is transit propobility
| 01/01/2010 | | 2010.6.30 | | 2010.12.30 |
| | | | |
| | | | 104.21 |
| | | 0.11 | |
| | 77.65 | 0.65 | 72.16 |
| | | 0.24 | |
| 0.17 | | 0.17 | |
| 60 | 0.67 | 53.78 | 0.67 | 49.97 |
| 0.17 | | 0.17 | |
| | | 0.24 | |
| | 37.24 | 0.65 | 34.61 |
| | | 0.11 | |
| | | | 23.97 |
| | | | |
| | | | |
| furword curve observed on january 1,2010 | |
| delivery period | future | | | |
| Jan-Jun,2010 | 60 | | | |
| Jul-Dec 2010 | 55 | | | |
| Jan-Jun,2011 | 52 | | | |