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stoutsoul · 2020年04月08日

问一道题：NO.PZ201712110200000205 第5小题 [ CFA II ]

  1. CFA II
  2. Fixed Income

* 问题详情，请 查看题干

问题如下：

Which of the various statements regarding binomial interest rate trees is correct?

选项：

A.

Statement 1

B.

Statement 2

C.

Statement 3

解释：

B is correct.

Two methods are commonly used to estimate potential interest rate volatility in a binomial interest rate tree. The first method bases estimates on historical interest rate volatility. The second method uses observed market prices of interest rate derivatives.

Statement 1 is incorrect because there are three requirements to create a binomial interest rate tree, not two. The third requirement is an assumption regarding the interest rate model. Statement 3 is incorrect because the valuation of a bond using spot rates and the valuation of a bond from an interest rate tree will be the same regardless of the volatility assumption used in the model.

​​想问老师statement3中，如果是含权债券，两种方法得到的价格就不等了吧？而且事实上含权债券也不能用spot rate 算？感觉题目问的不是很明确

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1 个答案

WallE_品职答疑助手 · 2020年04月09日

如果是含权债券的话，就有可能不一样了（如果行权了的话）。这个题目里并没有说明债券C和D是不是含权债，所以你就只能把它当成普通债券来看。

如果是Callable 还是Puttable bond,题目中会详细说明的。

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NO.PZ201712110200000205 老师好， 当时我认为statement3不对是我当时觉得那个volatility的变动幅度是会改变债券在t0时刻的价格的，只是多过还是少过就不确定了，而不是像题目说的多过，所以我没选statement3. 我之所以认为volatility的变动幅度是会改变债券在t0时刻的价格的，是因为我之前做过一道题，他说两个二叉树，A比B的volatility更大，那么A的forwarrate应该比B高一些，因为upper no对forwarrate的影响比Lower no的影响大。 接下来我又想，forwarrate其实相当于upper no和lower no的中值，所以forwarrate也变了，那么后续折现到t0时刻的债券价值也会变。而不是和解析说的那样。 请问老师我哪里想错了，请老师帮忙指正，谢谢。

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