NO.PZ2020033001000072
问题如下:
Within the log-normal model, how are basis-point volatility and yield volatility changing over time ?
选项:
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.
但是如果basis-point volatility 是指σ*r,所以是线性增加的话。r可大可小啊,这样不就可能导致它可能增加也可能减少?