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.
Which of the following statements about the missing data in Exhibit 3 is correct?
选项:
A. Node 3–2 can be derived from Node 2–2.
B. Node 4–1 should be equal to Node 4–5 multiplied by e0.4.
C. Node 2–2 approximates the implied one-year forward rate two years from now.
解释:
C is correct.
考点:考察利率二叉树的理解。
解析:由于节点2-2是第2年的中间的节点,是第2年末开始的1年期远期利率。因此C选项描述正确。
节点4-1应该等于节点4-5和e0.8的乘积。
节点3-2不能从节点2-2得出; 它可以从任何其他第3年的节点得出; 例如,节点3-2可以从节点3-4(等于节点3-4和e4σ 的乘积)得出。
麻烦解释下A项,谢谢