standard deviation 后面这句怎么理解

问题如下：

Model 1 has a no-drift assumption. Using this model, if the current short-term interest rate is 6%, annual volatility is 100bps, and dw is a normally distributed random variable with mean equals zero and standard deviation $\sqrt{dt}$ of zero as its expected value. One month later, the realization of dw is -0.4. What is the change in the spot rate and the new spot rate?

选项：

A. B. C. D.

解释：

B is correct.

考点：Model I

解析：

dr = σ dw

dr = 1% x (-0.4) = -0.4% = -40 basis points

Since the initial rate was 6% and dr = -0.40%, the new spot rate in one month is:

6% - 0.40% = 5.60%