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小爽加油呀 · 2023年08月09日

dw怎么理解

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2020033001000094

问题如下：

Vincent is forecasting spot rate changes via short rate term structure models. The current short-term interest rate is 6% with a volatility of 100bps.dw, a normally distributed random variable with mean 0 and standard deviation dt\sqrt{dt}, is -0.5 after one quarter passes. Assume a constant interest rate drift, λ, of 0.48%. What is the new spot rate?

选项：

A.

5.37%.

B.

5.62%.

C.

5.76%.

D.

4.24%

解释：

B is correct.

考点：Model 2

解析：

Using Model 2 (with constant drift). The change in the spot rate is computed as:

dr = λ dt + σ dw

dr = (0.48% /4) + (1% x -0.5) = -0.38%

The new spot rate in one quarter is:

6% - 0.38% = 5.62%

老师您好，请问DW直接给的数据用的dt也没有说是a quarter的，不用换算一下吗？

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李坏_品职助教 · 2023年08月09日

嗨，努力学习的PZer你好：


这个题目里面说dw, a normally distributed random variable with ……is -0.5 after 1 quarter passes，这里可以认为1个季度就是1个时间段，就是二叉树里面两个节点之间的距离=one quarter，无需换算。

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