NO.PZ2023040701000050
问题如下：
Zhong asks, “Except using spot rate, are there other ways to calculate the arbitrage-free value of a bond?” Goll responds, “Yes, the arbitrage-free value of a bond can also be calculated using a binomial interest rate tree, where the interest rate tree provides a representation of how one-year forward rates evolve based on an interest rate model that identifies factors with predictable paths, an interest rate volatility assumption, and where forward rates on the tree are consistent with the current benchmark yield curve.”
Goll’s response to Zhong’s question is least likely correct with respect to:
选项：
A.the interest model.
interest rate volatility.
the benchmark yield curve.
解释：
Correct Answer: A
Goll’s response to Zhong is incorrect with respect to the interest rate model. Goll states that the factors in the interest rate model must have predictable paths, which is incorrect. The factors that explain the dynamics of interest rates are random or stochastic. Goll is correct regarding the assumption of interest rate volatility and the current benchmark yield curve.
Zhong asks, “Except using spot rate, are there other ways to calculate the arbitrage-free value of a bond?” Goll responds, “Yes, the arbitrage-free value of a bond can also be calculated using a binomial interest rate tree, where the interest rate tree provides a representation of how one-year forward rates evolve based on an interest rate model that identifies factors with predictable paths, an interest rate volatility assumption, and where forward rates on the tree are consistent with the current benchmark yield curve.”
Goll’s response to Zhong’s question is least likely correct with respect to:
您的回答C, 正确答案是: A
A
the interest model.
B
interest rate volatility.
C
不正确the benchmark yield curve.
C也错吧？forward rate on the tree 也不一定等于current benchmark yield。有那么多path，树有那么多branch，benchmark yield 只有一条，怎么可能相等？
