NO.PZ2018122701000067
问题如下：
Model 1 assumes zero drift and is also called a normal model. Model 2 add a term for drift. Each of the following is true about these two models except for:
选项：
A.A weakness of Model 1 is that the short-term rate can become negative.
B.Model 1 implies a term structure that is perfectly flat at the current rate for all maturities, including the long-term rates.
C.Model 2 is more capable of producing an upward-sloping term structure, which is often observed.
D.Model 2 is an equilibrium model, rather than an arbitrage-free model, because no attempt is made to match the term structure closely.
解释：
B is correct.
考点Term Structure Models
解析Under Model 1, it is true that the middle node recombines to the same current node. But these are future short-term rates; they are not the term structure: the term structure is spot rates at all maturities. Models that take the initial term structure implied by market prices are called arbitrage-free models. A different approach, however, is to start with assumptions about the interest rate process and about the risk premium demanded by the market for bearing interest rate risk and then derive the risk-neutral process. Models of this sort do not necessarily match the initial term structure and are called equilibrium models.
老师D选项不是很理解，model2是均衡模型不是套利模型？
，可以看到有2个参数是我们提前设置好的，λ和σ，这个模型算出来的dr只能说和市场上真实的dr接近，但不会一样，所以model2是均衡模型。如果我们换成Ho-Lee model,
情况就不一样了，这里也是2个参数λt和σ，但是这个λt是随时间变化的，是根据市场上的情况确定的，因此Ho-Lee模型算出来的结果是可以和市场上真实情况一致，所以这个模型是arbitrage free model