上小学 · 2023年08月06日
NO.PZ2020033001000072
问题如下：
Within the log-normal model, how are basis-point volatility and yield volatility changing over time ?
选项：
A.
B.
C.
D.
解释：
A is correct.
考点：Log-normal model
解析：
In Log-normal model, basis-point volatility increases linearly and yield volatility is constant.
不明白yield在此题目中是什么？在问什么？为什么是常数不变化？讲义何处可以参考？谢谢
NO.PZ2020033001000072 问题如下 Within the log-normmol, how are basis-point volatility anyielvolatility changing over time ? Basis-point volatility Yielvolatility A.increases constant B.increases creases C.creases constant creases creases A is correct.考点Log-normmol解析In Log-normmol, basis-point volatility increases linearly anyielvolatility is constant. basis point是不是是指每一步的波动的变化，在mol4里面，每一次波动的变化是σ*r，yielvolatility指的是这个模型本身的波动率，在这些模型里 都是固定的σ？
NO.PZ2020033001000072问题如下 Within the log-normmol, how are basis-point volatility anyielvolatility changing over time ?Basis-point volatility YielvolatilityA.increases constantB.increases creasesC.creases constantcreases creases A is correct.考点Log-normmol解析In Log-normmol, basis-point volatility increases linearly anyielvolatility is constant. 波动率恒定但是r在变化，为什么只会增加不会下降
NO.PZ2020033001000072 z这个题怎么，没有懂
NO.PZ2020033001000072 但是如果basis-point volatility 是指σ*r，所以是线性增加的话。r可大可小啊，这样不就可能导致它可能增加也可能减少？
