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ruby5ltc · 2023年06月09日

请问利率期限结构在哪一章节?

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NO.PZ201701230200000302

问题如下:

2. Which of Madison’s statement(s) regarding equilibrium and arbitrage-free term structure models is incorrect?

选项:

A.

Statement 1 only

B.

Statement 2 only

C.

Both Statement 1 and Statement 2

解释:

C is correct.

Both statements are incorrect because Madison incorrectly describes both types of models. Equilibrium term structure models are factor models that seek to describe the dynamics of the term structure by using fundamental economic variables that are assumed to affect interest rates. Arbitrage-free term structure models use observed market prices of a reference set of financial instruments, assumed to be correctly priced, to model the market yield curve.

请问利率期限结构在哪一章节?

1 个答案

pzqa31 · 2023年06月10日

嗨,努力学习的PZer你好:


同学你好,在module2里面term strucuture model这一节,同学可以去听听基础班相关的课程,如果听完对具体知识点有问题欢迎再来提问哈。

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