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%
老师上课一般用σ * √dt 代替dw，这道题我的理解是ε~N(0,1), 默认条件。 dw~N(0, √dt )
dr=λdt+ε*σ * √dt 所以我代入了0.48%/4 - 0.5*1%* √1/2
其实就是不太理解题目给的dw 服从正太分布均值为0，方差为√dt=-0.5这个条件。解析中这个-0.5是dw，但我感觉好像是想说 √dt 是-0.5.
