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标题: question about binomial interest rate tree [打印本页]

作者: lizihengtotti 时间: 2016-10-17 10:21 标题: question about binomial interest rate tree

Exhibit 3. Binomial Interest Rate Tree Fit to the Yield Curve
(Volatility = 10%)


Current	Year 1	Year 2	Year 3	Year 4
1.2500%	1.8229%	1.8280%	2.6241%	Node 4–1
	1.4925%	Node 2–2	Node 3–2	4.2009%
		1.2254%	1.7590%	3.4394%
			Node 3–4	2.8159%
				Node 4–5

Which of the following statements about the missing data in Exhibit 3 is correct?

A:Node 3–2 can be derived from Node 2–2.
B:Node 4–1 should be equal to Node 4–5 multiplied by e0.4.
C:Node 2–2 approximates the implied one-year forward rate one year from now.

关于C选项，Node2—2 不是应该近似于one-year forward rate two years from now 吗？
而year1 的 1.8229%和1.4925%的中值应该近似于one-year forward rate one year from now，
但为什么答案是C？

谢谢！

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