问题如下:
Exhibit 2 presents most of the data of a binomial lognormal interest rate tree fit to the yield curve shown in Exhibit 1.
Regarding the missing data in Exhibits 2, the trader is to perform a test that the binomial interest tree has been properly calibrated to be arbitrage-free.
A benefit of this test is that it:
选项:
A.identifies benchmark bonds that have been mispriced by the market.
B.enables the model to price bonds with embedded options.
C.allows investors to realize arbitrage profits through stripping and reconstitution.
解释:
B is correct.
考点:考察二叉树的相关概念.
解析:校准利率二叉树以匹配特定的利率期限结构非常重要。A选项是错误的,因为基准债券被认为是正确定价的,我们使用其市场价格来验证利率二叉树中利率的准确性。一旦二叉树确认了准确性,就可用来对含权债券进行定价。
C不正确,因为二项利率树的校准,实质上确定利率二叉树定价出来的债券价格是无套利的价格,因此二叉树利率的矫正不会有套利的机会。
老师,我其实也没怎么搞懂题目在干嘛,
regarding the missing data,trader will do a test, then the benefit of the test is A, B C
题目感觉都没讲清楚要做什么,node上的int rate不是用arbitrage free 模型算出来的么?为啥要什么test ?
然后题目也没说是什么test,就问说对于Missing data的test有什么benefits ?