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Danlei · 2021年11月20日

两个问题

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%

1.dt为什么是1呢?

2.问题里问的middle node怎么理解呀?

1 个答案
已采纳答案

品职答疑小助手雍 · 2021年11月20日

同学你好,因为给的条件是annual的,问的问题也是2年分两段的漂移,也是annual的(一般都会这么给条件),所以就直接拿dt不用根据时间调节。

middle node可以理解成两段二叉树生成的三个结果里的中间的那个。

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