Hi all,I am trying to resolve the following exercise (exercise number 30.20) in Options, Futures and Other Derivatives (8th edition)Quote30.20. Use the DerivaGem software to value 1*4, 2*3, 3*2, and 4*1 European swapoptions to receive fixed and pay floating. Assume that the 1-, 2-, 3-, 4-, and 5-yearinterest rates are 6%, 5.5%, 6%, 6.5%, and 7%, respectively. The payment frequency onthe swap is semiannual and the fixed rate is 6% per annum with semiannual compounding.Use the Hull and White model with a = 3% and sigma = 1%. Calculate the volatilityimplied by Black?s model for each option.But I do not find the same values.Thanks in advance for your help.

Which values do you get?What are the published values?Cheers,Jordy

For the 1*4 European swap options I have as input :Swap / Cap Data: Principal : 100 Swap Start (Years): 1.00 Swap End (Years): 5.00 Swap Rate (%): 6.00% Pricing Model: Volatility (%): 1.00%I checked 'Imply Volatility' and chosen 'Rec. fixed'Term Structure Time (Yrs) Rate (%)1 6.000%2 5.500%3 6.000%4 6.500%5 7.000%When I run the application ('Caps_and_Swap_Options' sheet), I obtain the following output:Price: 0.041120045DV01 (Per basis point): -0.001266714Gamma01 (Per %): 0.003542024Vega (per %): 0.022048863and 'Volatility (%)' field change to 11.05%----------------------------------------------------------In the exercise book it seems that the nominal was considered equal to 1 but I use this last value I obtain

No one has an idea or is the response too obvious?