开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

小宋宋 · 2021年05月11日

这题没有懂

NO.PZ2020033001000072

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.

z这个题怎么解释,没有懂

1 个答案

品职答疑小助手雍 · 2021年05月11日

嗨,努力学习的PZer你好:


这题直接考的预测利率曲线的那几个模型里的log normal 模型。讲义171页左右。

yield volatility就是利率模型里的σ,这个在log-normal model是假设不变的,

而basis-point volatility 是指σ*r,所以是线性增加的。

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

  • 1

    回答
  • 0

    关注
  • 749

    浏览
相关问题

NO.PZ2020033001000072 问题如下 Within the log-normmol, how are basis-point volatility anyielvolatility changing over time ? Basis-point volatility Yielvolatility A.increases constant B.increases creases C.creases constant creases creases A is correct.考点Log-normmol解析In Log-normmol, basis-point volatility increases linearly anyielvolatility is constant. basis point是不是是指每一步的波动的变化,在mol4里面,每一次波动的变化是σ*r,yielvolatility指的是这个模型本身的波动率,在这些模型里 都是固定的σ?

2023-10-29 14:06 1 · 回答

NO.PZ2020033001000072问题如下 Within the log-normmol, how are basis-point volatility anyielvolatility changing over time ?Basis-point volatility YielvolatilityA.increases constantB.increases creasesC.creases constantcreases creases A is correct.考点Log-normmol解析In Log-normmol, basis-point volatility increases linearly anyielvolatility is constant. 不明白yiel此题目中是什么?在问什么?为什么是常数不变化?讲义何处可以参考?谢谢

2023-08-06 04:34 1 · 回答

NO.PZ2020033001000072问题如下 Within the log-normmol, how are basis-point volatility anyielvolatility changing over time ?Basis-point volatility YielvolatilityA.increases constantB.increases creasesC.creases constantcreases creases A is correct.考点Log-normmol解析In Log-normmol, basis-point volatility increases linearly anyielvolatility is constant. 波动率恒定但是r在变化,为什么只会增加不会下降

2023-04-11 17:59 1 · 回答

NO.PZ2020033001000072 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?

2021-03-07 21:11 3 · 回答