问一道题：NO.PZ2018122701000069 [ FRM II ]

问题如下：

Model 1 has a no-drift assumption. Using this model, if the current short-term interest rate is 6%, annual volatility is 100bps, and dw is a normally distributed random variable with mean equals zero and standard deviation $\sqrt{dt}$ of zero as its expected value. One month later, the realization of dw is -0.4. What is the change in the spot rate and the new spot rate?

选项：

Change in spot

New spot rate

0.40%

-6.40%

-0.40%

5.60%

0.80%

6.80%

-0.80%

5.20%

解释：

B is correct.

考点：Model I

解析：

dr = σ dw

dr = 1% x (-0.4) = -0.4% = -40 basis points

Since the initial rate was 6% and dr = -0.40%, the new spot rate in one month is:

6% - 0.40% = 5.60%

不需要调整波动率吗？年波动率除以根号下12，调成月波动率？

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品职答疑小助手雍 · 2021年01月18日

嗨，爱思考的PZer你好：

dw is a normally distributed random variable with mean equals zero and standard deviation 根号dt of zero as its expected value。也就是dw这个波动项已经包含了波动率的时间上的考量了，-0.4就是最后的结果。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ2018122701000069 问题如下 Mol 1 ha no-ift assumption. Using this mol, if the current short-term interest rate is 6%, annuvolatility is 100bps, an is a normally stributeranm variable with meequals zero anstanrviation \sqrt{} of zero its expectevalue. One month later, the realization of is -0.4. Whis the change in the spot rate anthe new spot rate? Change in spot New spot rate A.0.40% -6.40% B.-0.40% 5.60% C.0.80% 6.80% -0.80% 5.20% B is correct.考点Mol I解析 = σ = 1% x (-0.4) = -0.4% = -40 basis pointsSinthe initirate w6% an = -0.40%, the new spot rate in one month is:6% - 0.40% = 5.60% 老师这里没调整月的时间，是因为这句stanrviation √of zero expectevalue怎么理解这句话，什么时候需要调整什么时候不需要调整啊？题目给就用不用调整时间？

2022-11-03 21:15 1 · 回答

问一道题：NO.PZ2018122701000069 [ FRM II ]

1 个答案

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