NO.PZ2018122701000070
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%
dw=伊普斯龙*根号下dt，已知dw=0.3，伊普斯龙课上讲默认为1，那倒推出的dt为0.09。
