NO.PZ2019052801000109
问题如下：
When using the Monte Carlo approach to estimate the value of mortgage-backed securities (MBSs), the model should:
选项：
A. use one consistent volatility
measure for all interest rate paths.
B. use a short/long yield
volatility approach.
C. use annual interest rates over
the entire life of the mortgage security.
D. ignore the distribution of the
interest rate paths used to determine the theoretical value.
解释：
B is correct.
When using the Monte Carlo approach to estimate the value of MBSs, the model should use more than one volatility measure for all interest rate paths. It is very common to use a short/ long yield volatility approach to estimate monthly rates. Although the information regarding the distributions of interest rate paths is oftentimes ignored, it contains valuable information and should be considered.
老师您好，C错在哪里呀？ 另外，这个知识点具体在哪里呢？
