NO.PZ2020033001000094
问题如下：
Vincent is forecasting spot rate changes via short rate term structure models. The current short-term interest rate is 6% with a volatility of 100bps.dw, a normally distributed random variable with mean 0 and standard deviation , is -0.5 after one quarter passes. Assume a constant interest rate drift, λ, of 0.48%. What is the new spot rate?
选项：
A.5.37%.
B.5.62%.
C.5.76%.
D.4.24%
解释：
B is correct.
考点：Model 2
解析：
Using Model 2 (with constant drift). The change in the spot rate is computed as:
dr = λ dt + σ dw
dr = (0.48% /4) + (1% x -0.5) = -0.38%
The new spot rate in one quarter is:
6% - 0.38% = 5.62%
Vincent is forecasting spot rate changes via short rate term structure models. The current short-term interest rate is 6% with a volatility of 100bps.dw, a normally distributed random variable with mean 0 and standard deviation \sqrt{dt}
dt
, is -0.5 after one quarter passes. Assume a constant interest rate drift, λ, of 0.48%. What is the new spot rate?
选项：
A.
5.37%.
B.
5.62%.
C.
5.76%.
D.
4.24%
解释：
B is correct.
考点：Model 2
解析：
Using Model 2 (with constant drift). The change in the spot rate is computed as:
dr = λ dt + σ dw
dr = (0.48% /4) + (1% x -0.5) = -0.38%
The new spot rate in one quarter is:
6% - 0.38% = 5.62%
