NO.PZ2023040701000040
问题如下：
Hake develops a framework for valuing bonds using a binomial interest rate tree. He understands that there are several factors used in developing the tree and asks Annisquam for counsel on the correct data to use. Annisquam makes the following comments to Hake:
Comment 1: In the valuation process, the interest rate tree generates cash flows that are interest rate dependent; but does not provide the interest rates used to discount those cash flows.
Comment 2: Two assumptions must be made to create a binomial tree. The first is an interest rate model such as a lognormal model of interest rates. The second is a volatility of interest rates.
Comment 3: Volatility can be measured relative to the current level of rates. By using a lognormal distribution, interest rate movements are proportional to the level of rates and are bounded at the low end by zero.
Which of Annisquam's comments regarding binomial interest rate trees is least likely correct?
选项：
A.Comment 1
Comment 2
Comment 3
解释：
Correct Answer: A
Annisquam is incorrect in Comment 1. The interest rate tree performs two functions in the valuation process: (1) generating the cash flows that are interest rate dependent and (2) supplying the interest rates used to determine the present value of the cash flows.
Volatility can be measured relative to the current level of rates. By using a lognormal distribution, interest rate movements are proportional to the level of rates and are bounded at the low end by zero. -- comment 3是什么意思？
