问一道题：NO.PZ201602270200001803 第3小题 [ CFA II ]

* 问题详情，请查看题干

问题如下：

3. Which of the following statements about the missing data in Exhibit 3 is correct?

选项：

Node 3–2 can be derived from Node 2–2.

Node 4–1 should be equal to Node 4–5 multiplied by e0.4.

Node 2–2 approximates the implied one-year forward rate two year from now.

解释：

C is correct.

Because Node 2–2 is the middle node rate in Year 2, it will be close to the implied one-year forward rate two year from now (as derived from the spot curve). Node 4–1 should be equal to the product of Node 4–5 and $e^{0.8}$ . Lastly, Node 3–2 cannot be derived from Node 2–2; it can be derived from any other Year 3 node; for example, Node 3–2 can be derived from Node 3–4 (equal to the product of Node 3–4 and $e4\sigma$ ).

node4-1到4-5应该是16倍啊！能不能画图说明一下，大家都在问

添加评论

1 个答案

已采纳答案

吴昊_品职助教 · 2020年04月02日

4-1到4-2相差2σ，4-1到4-3相差4σ，4-1到4-4相差6σ，4-1到4-5相差8σ。现在σ=10%，因此就是e^0.8

添加评论

1
回答
2
关注
526
浏览

我要回答关注问题

问一道题：NO.PZ201602270200001803 第3小题 [ CFA II ]

1 个答案

4-1到4-2相差2σ，4-1到4-3相差4σ，4-1到4-4相差6σ，4-1到4-5相差8σ。现在σ=10%，因此就是e^0.8

1

2

526

相关问题