开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

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

添加评论
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。

  • 1

    回答

  • 0

    关注

  • 549

    浏览
相关问题

NO.PZ201712110200000205 问题如下 Whiof the various statements regarng binomiinterest rate trees is correct? A.Statement 1 B.Statement 2 C.Statement 3 B is correct.Two metho are commonly useto estimate potentiinterest rate volatility in a binomiinterest rate tree. The first methobases estimates on historicinterest rate volatility. The seconmethouses observemarket prices of interest rate rivatives.Statement 1 is incorrebecause there are three requirements to create a binomiinterest rate tree, not two. The thirrequirement is assumption regarng the interest rate mol. Statement 3 is incorrebecause the valuation of a bonusing spot rates anthe valuation of a bonfrom interest rate tree will the same regaress of the volatility assumption usein the mol. 二叉树有那么多利率跟确定的spot rate怎么做比较呢？

2023-10-09 22:19 1 · 回答

NO.PZ201712110200000205 问题如下 Whiof the various statements regarng binomiinterest rate trees is correct? A.Statement 1 B.Statement 2 C.Statement 3 B is correct.Two metho are commonly useto estimate potentiinterest rate volatility in a binomiinterest rate tree. The first methobases estimates on historicinterest rate volatility. The seconmethouses observemarket prices of interest rate rivatives.Statement 1 is incorrebecause there are three requirements to create a binomiinterest rate tree, not two. The thirrequirement is assumption regarng the interest rate mol. Statement 3 is incorrebecause the valuation of a bonusing spot rates anthe valuation of a bonfrom interest rate tree will the same regaress of the volatility assumption usein the mol. 1、Statement 3 is incorrebecause the valuation of a bonusing spot rates anthe valuation of a bonfrom interest rate tree will the same regaress of the volatility assumption usein the mol.为什么呢？2、利率模型只能是lognormal？正太分布行吗？

2023-06-11 19:01 1 · 回答

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。

2021-08-14 22:40 2 · 回答

请问A为什么不对，确认下构建利率二叉树需要几个条件？ 谢谢

2020-08-11 12:17 2 · 回答

问一为什么不对谢谢题如下图

2020-07-22 21:43 1 · 回答