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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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