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wawjbng · 2021年07月08日

请问D错在哪

NO.PZ2018122701000075

问题如下:

An analyst is looking at various models used to incorporate drift into term structure models. The Ho-Lee Model:

选项:

A.

Incorporates no-risk premium to the interest rate model allowing rates to vary according to their volatility.

B.

Incorporates drift as a premium to interest rates that remains constant over time.

C.

Allows for a risk premium to be applied to interest rates that changes over time.

D.

Incorporates drift into the model following the assumption that rates revert to the long-run equilibrium value.

解释:

C is correct.

考点 Term Structure Models

解析 The Ho-Lee model incorporates a premium to each rate change that can be different at each point in time.

老师请问D错在哪里呢

1 个答案

品职答疑小助手雍 · 2021年07月09日

嗨,努力学习的PZer你好:


因为ho-lee模型里的趋势项只是每个阶段不同,并没有均值复归的属性~

这个上课时候应该专门讲过均值复归那一项的,看公式能看出来

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