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P(T 1 , T 2 ) - F(t, T 1 : T 2 ). Figure 3.1: Payoff Diagram for a Forward Contract with Delivery Date T 1 on a T 2 -maturity Zero-coupon Bond. P(T 1 , T 2 ). 0. F(t, T 1 : T 2 ). C(T 1 , T 1 , K: T 2 ) = max [P(T 1 , T 2 ) - K, 0].

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P(T1, T2) - F(t, T1: T2)

Figure 3.1: Payoff Diagram for a Forward Contract with Delivery Date T1 on a T2-maturity Zero-coupon Bond

P(T1, T2)

0

F(t, T1: T2)


C(T1, T1, K: T2) = max [P(T1, T2) - K, 0]

Figure 3.2: Payoff Diagram for a European Call Option on the T2-maturity Zero-coupon Bond with Strike K and Expiration Date T1

P(T1, T2)

K


P(T1, T2, K: T2) = max [K - P(T1, T2), 0]

K

P(T1, T2)

K

Figure 3.3: Payoff Diagram for a European Put Option on the T2-maturity Zero-coupon Bond with Strike K and Expiration Date T1


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