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saimeiei · 2019年03月15日

问一道题:NO.PZ201602270200001806 第6小题

* 问题详情,请 查看题干

问题如下图:

    

选项:

A.

B.

C.

解释:


这道题的解释理解,就是波动加大,那么forward rate幅度加大,但是forward rate还是不变的吧,B为什么错呢

1 个答案

吴昊_品职助教 · 2019年03月17日

问题中的forward rate用词不是很准确,要表达的就是future spot rate,就是想问的是二叉树中将来的利率将如何变化。波动率变大了,将来的i1H和i1L相邻的利率之间的范围会更宽,i1H会更高,i1L会更低,所以是更为扩散。

吴昊_品职助教 · 2019年03月31日

这道题目用词不精准,出题目的人其实想问的不是implied forward rate,想问的是将来的future spot rate如何变化,future spot rate是更为扩散的。

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NO.PZ201602270200001806 问题如下 6. If the assumevolatility is changeBlarequestein Task 4, the forwarrates shown in Exhibit 3 will most likely: A.spreout. B.remain unchange C.converge to the spot rates. A is correct.Volatility is one of the two key assumptions requireto estimate rates for the binomiinterest rate tree. Increasing the volatility from 10% to 15% woulcause the possible forwarrates to spreout on the tree it increases the exponent in the relationship multiple between nos (ex􀄱, where x = 2 times the number of nos above the lowest no in a given yein the interest rate tree). Conversely, using a lower estimate of volatility woulcause the forwarrates to narrow or converge to the implieforwarrates from the prevailing yielcurve. B is incorrebecause volatility is a key assumption in the binomiinterest rate tree mol. Any change in volatility will cause a change in the implieforwarrates. C is incorrebecause increasing the volatility from 10% to 15% causes the possible forwarrates to spreout on the tree, not converge to the implieforwarrates from the current yielcurve. Rates will converge to the implieforwarrates when lower estimates of volatility are assume 我想问的是,volatility 变大,IFR会变吗?如果IFR不会变,那为什么mile rate 会变?

2024-02-20 21:51 1 · 回答

NO.PZ201602270200001806 问题如下 6. If the assumevolatility is changeBlarequestein Task 4, the forwarrates shown in Exhibit 3 will most likely: A.spreout. B.remain unchange C.converge to the spot rates. A is correct.Volatility is one of the two key assumptions requireto estimate rates for the binomiinterest rate tree. Increasing the volatility from 10% to 15% woulcause the possible forwarrates to spreout on the tree it increases the exponent in the relationship multiple between nos (ex􀄱, where x = 2 times the number of nos above the lowest no in a given yein the interest rate tree). Conversely, using a lower estimate of volatility woulcause the forwarrates to narrow or converge to the implieforwarrates from the prevailing yielcurve. B is incorrebecause volatility is a key assumption in the binomiinterest rate tree mol. Any change in volatility will cause a change in the implieforwarrates. C is incorrebecause increasing the volatility from 10% to 15% causes the possible forwarrates to spreout on the tree, not converge to the implieforwarrates from the current yielcurve. Rates will converge to the implieforwarrates when lower estimates of volatility are assume 什么情况下选C

2023-06-11 18:29 1 · 回答

NO.PZ201602270200001806 remain unchange converge to the spot rates. A is correct. Volatility is one of the two key assumptions requireto estimate rates for the binomiinterest rate tree. Increasing the volatility from 10% to 15% woulcause the possible forwarrates to spreout on the tree it increases the exponent in the relationship multiple between nos (ex􀄱, where x = 2 times the number of nos above the lowest no in a given yein the interest rate tree). Conversely, using a lower estimate of volatility woulcause the forwarrates to narrow or converge to the implieforwarrates from the prevailing yielcurve. B is incorrebecause volatility is a key assumption in the binomiinterest rate tree mol. Any change in volatility will cause a change in the implieforwarrates. C is incorrebecause increasing the volatility from 10% to 15% causes the possible forwarrates to spreout on the tree, not converge to the implieforwarrates from the current yielcurve. Rates will converge to the implieforwarrates when lower estimates of volatility are assume 我理解波动率不影响每一期利率加权平均的结果

2021-06-06 19:45 1 · 回答

    你好,所以mile rate是不会随着volatility的变化而改变的对吗?(i H更高+i L 更低)/2 就中和了? 谢谢

2019-05-06 21:55 1 · 回答

    这道题中的forwarrates指的不是mile forwarrate吧?mile rate是spot rate算出来的implierate,volatility的变动时不会影响spot rate的,进而mile rate不变

2019-03-31 13:32 1 · 回答