NO.PZ2018122701000068
问题如下：
Jack Ma, FRM, is studying difference model, including mean-reverting models, no-drift models, models that incorporate drift, and Ho-Lee models. Ma makes the following statements about the appropriate usage of these models:
Statement 1: Both Model 1 (no drift) and the Vasicek model assume non-parallel shifts from changes in the short-term rate.
Statement 2: The Vasicek model implies decreasing volatility in short-term rates while Model 1 assumes constant volatility of future short-term rates.
Statement 3: The Model 2 (constant drift model) is a more flexible model than the Ho-Lee model.
How many of the statements is/are incorrect?
选项：
A.0
B.1
C.2
D.3
解释：
C is correct.
考点：Term structure models
解析：要求选错误的陈述有几个。
Statement 1不正确. Model 1 assume parallel shifts from changes in the short-term rate.
Statement 2 正确.
Statement 3不正确.The Ho-Lee model is actually more general than Model 2, as no drift and constant drift models are special cases of the Ho-Lee model.
因此，有2个陈述错了，答案选C。
Statement 2: The Vasicek model implies decreasing volatility in short-term rates while Model 1 assumes constant volatility of future short-term rates.
这句话V模型里面的西格玛是恒定的，但为什么是decrease？老师之前的提问里说这是r的波动率，不是西格玛，可是西格玛不就是r的波动吗？难道西格玛是什么别的东西的波动？
还有第二个问题。到底什么是平行移动？我怎么感觉有constant的drift才算平行移动？
还有第三个问题。V模型里面，（θ-r）的这个r，在第一个node运算的时候是r0，那到了第二个node，这个r要套上一步的结果变成r1还是说还带入r0？谢谢
