The first number at each node is the 0.5-year rate at that node. The next number is the price of $1 par of a 0.5-year zero at that node. The next number, at the time 0 node, is the price of $1 par of a 1-year zero.
Time 0 Time 0.5
5.526%
0.973113
Interest Rate Model 4.9%
a) What is the value of a 5.25% interest rate cap on $100 notional amount of a 1-year semi-annual floating rate note?
b) What is the value of $100 par of a 1-year semi-annual floating rate note that is capped at 5.25%?