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赵小瓜 · 2020年02月29日

问一道题:NO.PZ2018123101000061

问题如下:

Based on data in Exhibit 1, to calibrate a binomial interest rate tree starting with the calculation of implied forward rates shown in Exhibit 2.

Based on Exhibits 1 and 2, the value of the lower one-period forward rate is closest to:

选项:

A.

3.5122%.

B.

3.5400%.

C.

4.8037%.

解释:

B is correct.

考点:考察利率二叉树模型

解析

需要计算的是Time 1时间点下面节点的利率,因为Volatility为25%,直接通过关系式可得:

0.058365 × e(-0.5) = 0.035400=3.5400%.

我想问下老师,怎么知道Volatility为25%的

我的做法是用已知的spot rate计算出forward rate,也就是1时刻的midrate,然后1时刻的大的利率除以midrate算下来的比例,再来计算小的利率

1 个答案

吴昊_品职助教 · 2020年02月29日

volatility是题目中给出的,在表二的标题中:Caliberation of Binomial Interest rate tree with volatility 25%

你的做法也是可以的,由第一,二年期的spot rate 就可以推出forward rate, 然后再由相同的比例算出下面节点的利率。但是这样的做法相对更复杂一点,按照解释中的算法会更简便。

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