Model 1 has a no-drift assumption. Using this model, if the current short-term interest rate is 6%, annual volatility is 100bps, and dw is a normally distributed random variable with mean equals zero and standard deviation root of dt of zero as its expected value. One month later, the realization of dw is -0.4. What is the change in the spot rate and the new spot rate?
dr = σ dw
dr = 1% x (-0.4) = -0.4% = -40 basis points
這道題目直接給出了dw=-0.4，不需要計算dw = Ƹ * root of dt（默認Ƹ=1），是因為Ƹ不為1了嗎？
