Compute the implied average forward rate volatility

Reference no: EM131458324

Question: Given the market price of the caplet is $209,801.727, and using the following inputs for the caplet (notional $100 million, strike rate k = 4 percent, maturity 1 year, six-month bbalibor i(0,1) = 0.421 with δ = 0.4986, B(0,T + δ) = $0.95) compute the implied average forward rate volatility over the caplet's life.

Reference no: EM131458324

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