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Stella · 2021年06月06日

我能理解spread out,但每一个时间点加了权重之后再算还是一样的?

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NO.PZ201602270200001806

问题如下:

6. If the assumed volatility is changed as Black requested in Task 4, the forward rates shown in Exhibit 3 will most likely:

选项:

A.

spread out.

B.

remain unchanged.

C.

converge to the spot rates.

解释:

A is correct.

Volatility is one of the two key assumptions required to estimate rates for the binomial interest rate tree. Increasing the volatility from 10% to 15% would cause the possible forward rates to spread out on the tree as it increases the exponent in the relationship multiple between nodes (ex􀄱, where x = 2 times the number of nodes above the lowest node in a given year in the interest rate tree). Conversely, using a lower estimate of volatility would cause the forward rates to narrow or converge to the implied forward rates from the prevailing yield curve.

B is incorrect because volatility is a key assumption in the binomial interest rate tree model. Any change in volatility will cause a change in the implied forward rates.

C is incorrect because increasing the volatility from 10% to 15% causes the possible forward rates to spread out on the tree, not converge to the implied forward rates from the current yield curve. Rates will converge to the implied forward rates when lower estimates of volatility are assumed.

我理解波动率不影响每一期利率加权平均的结果
1 个答案
已采纳答案

WallE_品职答疑助手 · 2021年06月08日

嗨,努力学习的PZer你好:


是的,对不含权的债券来说用二叉树讨论 和直接用spot rate折现求现值,结果会是一样的,那波动率变动对其影响不大。


对于含权债券来说,利率上升或者下降,含权债券有可能就行权了,因此您在这里说”每一期利率加权平均“并没有什么意义,因为我们在每个节点上必须要判断该点会不会被行权,波动率越大越可能被行权。



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