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    Science of Term Structure- Arbitrage pricing multiple periods

    Thanks! That clarifies it. Since it was pretty similar and it wasn't explicitely mentioned that it was given, I was confused as to where that value came from.
  2. F

    Science of Term Structure- Arbitrage pricing multiple periods

    Hi David, I do not understand where the value p 0.8024 comes from. It just seems to pop out of nowhere in the readings (the previous value calculated was 80.1% not 80.24%) and in the spreadsheets they are also shown as fixed values. Where did it come from?
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