NO.PZ2023040701000039
问题如下：
Annisquam then develops a model that compares the value of a bond determined using a binomial interest rate tree to its value determined using spot rates. The bond he selects for the comparison is non-benchmark, option-free, has five years to maturity and an annual-pay coupon rate of 3%. The coupon rate is below the coupon rate of the benchmark bond. The yield curve is currently downward sloping. The output of Annisquam’s model shows that the spot rates generate a value equal to the market price of the bond, but the interest rate tree methodology produces a higher value.
Assuming Annisquam's spot rate valuation is correct, why does his model most likely produce a different result?
选项：
A.The model is incorrect because both methodologies should value the bonds equally.
He is valuing a non-benchmark bond.
The yield curve is downward sloping.
解释：
Correct Answer: A
The binomial tree is based on the spot rate curve and a no arbitrage condition, therefore any option-free bond should have the same value whether using the spot rate curve or the binomial tree.
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