NO.PZ2023040701000050
问题如下：
Zhong asks, “Except using spot rate, are there other ways to calculate the arbitrage-free value of a bond?” Goll responds, “Yes, the arbitrage-free value of a bond can also be calculated using a binomial interest rate tree, where the interest rate tree provides a representation of how one-year forward rates evolve based on an interest rate model that identifies factors with predictable paths, an interest rate volatility assumption, and where forward rates on the tree are consistent with the current benchmark yield curve.”
Goll’s response to Zhong’s question is least likely correct with respect to:
选项：
A.the interest model.
interest rate volatility.
the benchmark yield curve.
解释：
Correct Answer: A
Goll’s response to Zhong is incorrect with respect to the interest rate model. Goll states that the factors in the interest rate model must have predictable paths, which is incorrect. The factors that explain the dynamics of interest rates are random or stochastic. Goll is correct regarding the assumption of interest rate volatility and the current benchmark yield curve.
A选项，利率路径为啥不是predictable？
任何分叉路，上涨利率和下跌利率差距为e^（2σ），i（H）=i（L）*e^（2σ），同时middle forward rate = implied one period forward rate
只要知道i0，就能把后面的利率二叉树全给预测出来
C选项：只有middle forward rate和当前的benchmark yield curve一致，题干说所有的middle forward rate和当前的benchmark yield curve一致这明显是错的吧
