NO.PZ2023040701000046
问题如下：
Maalouf notes Fujioka currently values option-free bonds by discounting their future expected cash flows using the zero-coupon yield curve. He asks her why she hasn’t adopted the more flexible binomial interest rate tree framework. She replies, “My approach will calculate the same values for option-bonds as those produced by a properly calibrated binomial tree. Further, it would require special programming techniques to calibrate a binomial tree to match benchmark risk-bond prices, making implementation of that approach quite costly.”
Is Fujioka most likely correct when comparing her approach to valuation with the binomial interest rate tree framework?
选项：
A.No, the values estimated by the two approaches will likely be different
Yes
No, she is incorrect regarding calibration of interest rate trees
解释：
Correct Answer: C
Calibrating an interest rate tree can be accomplished using spreadsheet software (e.g., the Solver function in Excel) and is therefore relatively easy to do without a knowledge of special programming techniques and without great expense.
She replies, “My approach will calculate the same values for option-bonds as those produced by a properly calibrated binomial tree.
前面又写她在估值option-free bond；option bond只能用二叉树估值。所以题干的信息前后矛盾吧。
