模型公式

问题如下：

In Model 2, if the current short-term rate is 5%, annual drift is 80bps, and short-term rate standard deviation is 3%. Besides, assume the ex-post realization of the dw random variable is 0.3. What is the interest rate in the middle node at the end of year 2 after a 2-period interest rate tree with annual periods is constructed?

选项：

A.0.05 B.0.058 C.0.06 D.0.066

解释：

r0 = 5%, λ = 0.8%, σ = 3%, dw = 0.3, dt =1 The tree will recombine to the following rate: r0 + 2 λdt. 5% + 2 x 0.8% x 1 = 6.6%