问题如下：
In Model 2, if the current short-term rate is 5%, annual drift is 80bps, and short-term rate standard deviation is 3%. Besides, assume the ex-post realization of the dw random variable is 0.3. What is the interest rate in the middle node at the end of year 2 after a 2-period interest rate tree with annual periods is constructed?
选项：
A. 5.0%.
B. 5.8%.
C. 6.0%.
D. 6.6%.
解释：
D is correct.
考点：Model 2
解析：
r0 = 5%, λ = 0.8%, σ = 3%, dw = 0.3, dt =1
The tree will recombine to the following rate: r0 + 2 λdt.
5% + 2 x 0.8% x 1 = 6.6%
为什么dt=1 而不是2
