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教皇V · 2021年01月05日

问一道题:NO.PZ2020033001000072 [ FRM II ]

问题如下:

Within the log-normal model, how are basis-point volatility and yield volatility changing over time ?

选项:

Basis-point volatility
Yield volatility

A.

increases
constant

B.

increases
decreases

C.

decreases
constant

D.

decreases
decreases

解释:

A is correct.

考点:Log-normal model

解析:

In Log-normal model, basis-point volatility increases linearly and yield volatility is constant.

这个知识点删掉了吗?讲义里没有了
2 个答案
已采纳答案

小刘_品职助教 · 2021年01月07日

小刘_品职助教 · 2021年01月07日

同学你好,

基础班讲义在178页还是保留的。

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NO.PZ2020033001000072 z这个题怎么,没有懂

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