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双 · 2023年05月10日

B选项是哪里出错

  1. CFA II
  2. Fixed Income

NO.PZ2018123101000116

问题如下：

Which of the following statements comparing the Ho–Lee and Kalotay–Williams–Fabozzi (KWF) equilibrium term structure models is correct?

选项：

A.

The Ho–Lee model assumes constant volatility, while the KWF model does not.

B.

The KWF model incorporates the possibility of negative rates, while the Ho–Lee model does not.

C.

The KWF model describes the log of the dynamics of the short rate, while the Ho–Lee model does not.

解释：

C is correct. The Kalotay–Williams–Fabozzi equilibrium term structure model is similar to the Ho–Lee model in that it assumes constant drift, no mean reversion, and constant volatility, but the KWF model describes the log of the dynamics of the short rate, while the Ho–Lee model does not.

B选项是哪里出错？??i

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2 个答案

pzqa015 · 2023年05月11日

嗨，爱思考的PZer你好：


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努力的时光都是限量版，加油！

pzqa015 · 2023年05月11日

嗨，努力学习的PZer你好：


这个知识点公式如上

lnX的X一定是大于0的。

所以，The KWF model incorporates the possibility of negative rates, while the Ho–Lee model does not，说反了，应该是Ho-Lee incorporates the possibility of negative rates，而KWF模型没有

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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