开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

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。

  • 1

    回答
  • 0

    关注
  • 549

    浏览
相关问题

NO.PZ2018122701000070 问题如下 In Mol 2, if the current short-term rate is 5%, annuift is 80bps, anshort-term rate stanrviation is 3%. Besis, assume the ex-post realization of the ranm variable is 0.3. Whis the interest rate in the mile no the enof ye2 after a 2-periointerest rate tree with annuperio is constructe A.5.0%. B.5.8%. C.6.0%. 6.6%. is correct.考点Mol 2解析r0 = 5%, λ = 0.8%, σ = 3%, = 0.3, =1The tree will recombine to the following rate: r0 + 2 λ.5% + 2 x 0.8% x 1 = 6.6% 为什么80的ift不管在哪个分叉都是累加,而伊普西隆是根据节点加减的?

2024-10-05 15:45 1 · 回答

NO.PZ2018122701000070 问题如下 In Mol 2, if the current short-term rate is 5%, annuift is 80bps, anshort-term rate stanrviation is 3%. Besis, assume the ex-post realization of the ranm variable is 0.3. Whis the interest rate in the mile no the enof ye2 after a 2-periointerest rate tree with annuperio is constructe A.5.0%. B.5.8%. C.6.0%. 6.6%. is correct.考点Mol 2解析r0 = 5%, λ = 0.8%, σ = 3%, = 0.3, =1The tree will recombine to the following rate: r0 + 2 λ.5% + 2 x 0.8% x 1 = 6.6% 如题,这道题说问的是2年后的中间节点,所以不用考虑,但如果问的是2年后的上方节点,那该如何计算?公式当中的代多少啊,老李在课上说“爱是多少是多少”,这是啥意思啊。具体列一下计算过程好吗?

2022-10-01 18:59 1 · 回答

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

2021-08-08 13:41 2 · 回答

5.8%. 6.0%. 6.6%. is correct. 考点Mol 2 解析 r0 = 5%, λ = 0.8%, σ = 3%, = 0.3, =1 The tree will recombine to the following rate: r0 + 2 λ. 5% + 2 x 0.8% x 1 = 6.6% 为什么=1 而不是2

2021-01-02 13:41 1 · 回答