问题如下：
Traci York, FRM, is setting up a regression-based hedge and is trying to decide between a changes-in-yields-on-changes-in-yields approach versus a yields-on-yields approach. Which of the following is a correct statement concerning error terms in these two approaches?
选项：
A.In both cases, the error terms are completely uncorrelated.
B.With change-on-change, there is no correlation in error terms, while yield-on- yield error terms are completely correlated.
C.Error terms are correlated over time with both approaches.
D.With yield-on-yield, there is no correlation in error terms, while change-on- change error terms are completely correlated
解释：
With the level-on-level approach, error terms are somewhat correlated over time, while with the change-on-change approach, the error terms are completely correlated. Thus, error terms are correlated over time with both approaches.
对照答案后面的解释，和前面问答，感觉level-on-level才是completely correlated，因此利率都是平行变动、利率变动才能实现都约掉；level-on-level才应该是somewhat correlated啊。。。麻烦给确认下。。。谢谢。。。
对照如下：
答案后面的解释：With the level-on-level approach, error terms are somewhat correlated over time, while with the change-on-change approach, the error terms are completely correlated. Thus, error terms are correlated over time with both approaches.
前面问答：orange品职答疑助手 · 超过 1 年前 同学你好，yield on yield，即level-on-level就是久期对冲，假设利率是平行变动的，所以利率的变动可以约掉；而另一个change on change是认为利率之间的变动不是1：1的关系，所以通过线性回归的方法，求得两者利率变化的关系，即一个不等于1的系数。
