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

B.

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

C.

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 $e4\sigma$ ).