如题

问题如下：

Which of the following statements about the missing data in Exhibit 3 is correct?

选项：

A.

Node 3–2 can be derived from Node 2–2.

B.

Node 4–1 should be equal to Node 4–5 multiplied by e^0.4.

C.

Node 2–2 approximates the implied one-year forward rate two year from now.

解释：

Correct Answer: C

Because Node 2–2 is the middle node rate in Year 2, it will be close to the implied one-year forward rate two year from now (as derived from the spot curve). Node 4–1 should be equal to the product of Node 4–5 and e^0.8. Lastly, Node 3–2 cannot be derived from Node 2–2; it can be derived from any other Year 3 node; for example, Node 3–2 can be derived from Node 3–4 (equal to the product of Node 3–4 ande^4σ).