NO.PZ2023100703000099
问题如下：
An analyst at an investment bank uses interest-rate trees to forecast short-term interest rates. The analyst applies the following model for estimating monthly changes in a short-term interest rate tree: dr = λ(t)*dt + σ(t)*dw In this process, λ(t) represents the drift in month t, σ(t) represents the volatility in month t, dt is the time interval measured in years, and dw is a normally distributed random variable with a mean of zero and a standard deviation of the square root of dt. The analyst uses the following information to make the calculations: • Current level of short-term interest rate: 3.1% • Drift in month 1 (λ(1)): 0.0024 • Drift in month 2 (λ(2)): 0.0036 • Annualized volatility of the interest rate in month 1 (σ(1)): 0.0060 • Annualized volatility of the interest rate in month 2 (σ(2)): 0.0080 • Probability of an upward or downward movement in interest rates: 0.5 What is the volatility component of the change in interest rate from the upper node of month 1 to the upper node of month 2?选项：
A.23bps B.26bps C.40bps D.45bps解释：
方便把这个图形画出来吗，我理解应该作差的话还要加上drift项 0.0036X1/12呢
