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Tan · 2020年08月11日

问一道题：NO.PZ201712110200000205

  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.

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

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WallE_品职答疑助手 · 2021年03月07日

嗨，努力学习的PZer你好：


比如利率服从正太分布或者对数分布。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

吴昊_品职助教 · 2020年08月11日

同学你好：

构造Binomial interest rate tree 的 requirements有三个：

  1. Current benchmark interest rate。即要有当前的yield curve
  2. assumption regarding the interest rate model，对利率模型的假设
  3. assumption about interest rate volatility，波动率的假设

因此Statement1是缺条件的，仅仅凭借这两个条件不能create a binomial tree，因此Statement1不正确。

Churning · 2021年03月07日

assumption regarding the interest rate model 具体是指什么呢？

janetrr · 2023年07月05日

第一个requirements在讲义中有吗？

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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。

2021-08-14 22:40 2 · 回答

问一为什么不对谢谢题如下图

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