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小鱼 · 2023年10月09日

Statement 3不太明白

  1. CFA II
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201712110200000205

问题如下：

Which of the various statements regarding binomial interest rate trees is correct?

选项：

A.

Statement 1

B.

Statement 2

C.

Statement 3

解释：

B is correct.

Two methods are commonly used to estimate potential interest rate volatility in a binomial interest rate tree. The first method bases estimates on historical interest rate volatility. The second method uses observed market prices of interest rate derivatives.

Statement 1 is incorrect because there are three requirements to create a binomial interest rate tree, not two. The third requirement is an assumption regarding the interest rate model. Statement 3 is incorrect because the valuation of a bond using spot rates and the valuation of a bond from an interest rate tree will be the same regardless of the volatility assumption used in the model.

二叉树有那么多利率跟确定的spot rate怎么做比较呢？

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1 个答案

pzqa31 · 2023年10月10日

嗨，爱思考的PZer你好：


这是结论，二叉树得到的价格是无套利价格，与spot rate得到的价格一致。由于二叉树是近似对称的，如果用到的volatility更大，那么二叉树形状会更“分散”，上半部分得到的价格会下降，下半部分得到的价格会上涨，最终综合起来，与原价格几乎一致。

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NO.PZ201712110200000205 问题如下 Whiof the various statements regarng binomiinterest rate trees is correct? A.Statement 1 B.Statement 2 C.Statement 3 B is correct.Two metho are commonly useto estimate potentiinterest rate volatility in a binomiinterest rate tree. The first methobases estimates on historicinterest rate volatility. The seconmethouses observemarket prices of interest rate rivatives.Statement 1 is incorrebecause there are three requirements to create a binomiinterest rate tree, not two. The thirrequirement is assumption regarng the interest rate mol. Statement 3 is incorrebecause the valuation of a bonusing spot rates anthe valuation of a bonfrom interest rate tree will the same regaress of the volatility assumption usein the mol. 1、Statement 3 is incorrebecause the valuation of a bonusing spot rates anthe valuation of a bonfrom interest rate tree will the same regaress of the volatility assumption usein the mol.为什么呢？2、利率模型只能是lognormal？正太分布行吗？

2023-06-11 19:01 1 · 回答

NO.PZ201712110200000205 老师好， 当时我认为statement3不对是我当时觉得那个volatility的变动幅度是会改变债券在t0时刻的价格的，只是多过还是少过就不确定了，而不是像题目说的多过，所以我没选statement3. 我之所以认为volatility的变动幅度是会改变债券在t0时刻的价格的，是因为我之前做过一道题，他说两个二叉树，A比B的volatility更大，那么A的forwarrate应该比B高一些，因为upper no对forwarrate的影响比Lower no的影响大。 接下来我又想，forwarrate其实相当于upper no和lower no的中值，所以forwarrate也变了，那么后续折现到t0时刻的债券价值也会变。而不是和解析说的那样。 请问老师我哪里想错了，请老师帮忙指正，谢谢。

2021-08-14 22:40 2 · 回答

请问A为什么不对，确认下构建利率二叉树需要几个条件？ 谢谢

2020-08-11 12:17 2 · 回答

问一为什么不对谢谢题如下图

2020-07-22 21:43 1 · 回答