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Q16 2012 AM Mock - Please help
Hi, Question 16 on the 2012 morning mock exam, I have no idea how they have dreamt up the missing rates in the binomial tree to answer this question?
The rate today is empty, as is the upper rate in Year 1, however in computing the answer they seem to have decided that these rates are 3.1% and 4.75% respectively.
I’m sure that to get these rates you would have to know the equation for the underlying interest rate model they are using to generate the tree. We don’t have this information, so how do we get the rates.
Please please help someone, this is driving me crazy and I’ve scoured both CFAI texts and Schweser to no avail.
Thanks |
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发表于 2013-4-22 06:27
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