Use the Fact That the Pseudo-Probability of Default at Time

Use the fact that the pseudo-probability of default at time zero is (1 / 2) to answer the questions that follow.
-Consider a caplet with maturity time 1 and strike price 0.035.What are the payoffs to the option at time 1 in the up and down nodes?

A) 0.000000,0.006649
B) 0.003525,0.000000
C) 0.003198,0.001696
D) 0.000000,0.003325
E) 0.001763,0.000000