NO.PZ2018122701000067
问题如下：
Model 1 assumes zero drift and is also called a normal model. Model 2 add a term for drift. Each of the following is true about these two models except for:
选项：
A.A weakness of Model 1 is that the short-term rate can become negative.
B.Model 1 implies a term structure that is perfectly flat at the current rate for all maturities, including the long-term rates.
C.Model 2 is more capable of producing an upward-sloping term structure, which is often observed.
D.Model 2 is an equilibrium model, rather than an arbitrage-free model, because no attempt is made to match the term structure closely.
解释：
B is correct.
考点Term Structure Models
解析Under Model 1, it is true that the middle node recombines to the same current node. But these are future short-term rates; they are not the term structure: the term structure is spot rates at all maturities. Models that take the initial term structure implied by market prices are called arbitrage-free models. A different approach, however, is to start with assumptions about the interest rate process and about the risk premium demanded by the market for bearing interest rate risk and then derive the risk-neutral process. Models of this sort do not necessarily match the initial term structure and are called equilibrium models.
1.套利模型和无套利模型其实指的是一个东西对吗？
2.我的理解是，套利模型中，term structure是输入变量；均衡模型中，term structure是输出变量。但是HL model为什么是属于套利模型，而不是套利模型呢？HL model作为model2的广义形式，更应该是均衡模型吧？
3.如果一个模型是均衡模型，那么它可以同时也是套利模型吗
感谢老师解答~
