8. The Black-Derman-Toy no arbitrage binomial model was used to perform this analysis. See Fischer Black, Emanuel Derman, and William Toy, “A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options,” Financial Analysts Journal (January–February 1990), pp. 24–32.

9. Note that shifting the term structure in a parallel manner will result in a change in yields equal to the shift for option-free bonds.

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