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410140980 · 2022年10月08日

ho-lee model不是有长期均衡水平吗

NO.PZ2018122701000075

问题如下:

An analyst is looking at various models used to incorporate drift into term structure models. The Ho-Lee Model:

选项:

A.

Incorporates no-risk premium to the interest rate model allowing rates to vary according to their volatility.

B.

Incorporates drift as a premium to interest rates that remains constant over time.

C.

Allows for a risk premium to be applied to interest rates that changes over time.

D.

Incorporates drift into the model following the assumption that rates revert to the long-run equilibrium value.

解释:

C is correct.

考点 Term Structure Models

解析 The Ho-Lee model incorporates a premium to each rate change that can be different at each point in time.

Incorporates drift into the model following the assumption that rates revert to the long-run equilibrium value.

D选项描述好像没错啊

1 个答案

品职答疑小助手雍 · 2022年10月08日

同学你好,holee模型假设的是每一期的趋势项不一致,即有λ1 λ2这种。

均值复归指的是像Vmodel和CIR那样带有长期均值减r那种项的模型。