Maturity Date | Strike Price (%) | Lognormal Volatility (%) | Cap Price (£) in bp |
2/1/2019 | 0.662 | 39.28 | 11.8 |
2/1/2020 | 0.800 | 41.61 | 50.3 |
4/1/2021 | 0.903 | 46.89 | 118.9 |
3/1/2022 | 0.982 | 51.84 | 216.2 |
2/1/2023 | 1.052 | 51.84 | 341.2 |
2/1/2024 | 1.111 | 57.90 | 485.5 |
2/1/2025 | 1.164 | 59.43 | 647.5 |
2/1/2026 | 1.214 | 60.18 | 822.4 |
4/1/2027 | 1.261 | 60.18 | 1006.0 |
3/1/2028 | 1.305 | 59.76 | 1195.4 |