Good morning, Next week I'll have Derivates Final test and I've a doubt about Bond Option.
If I have one ZCB, price 90 with 3 month maturity and strike 100, and I want a minimum yield of 2%, what type of option I have to buy?
Is it correct think that if I've a ZCB and I want to make a floor for yield I've to buy a CALL Option?
How can I find option strike?
If I also have this table
How can I get the option price using B&S model? Which is the numeraire I've to choose (bond price = 90 or 0,9 because the value of bond at maturity is 100 and today I have 90/100)?