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pinzhixiaoguo · 2022年10月01日

请问波动项里面的根号r，用的r是初始值r0还是跟随时间变化的r？

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2020033001000073

问题如下：

Which of the following statements is an advantage of the CIR model?

选项：

A.

During periods of high inflation, basis-point volatility decreases.

B.

Interest rates are always non-negative.

C.

Out-of-the money option prices may differ with the use of normal or lognormal distributions.

D.

Long-run interest rates may not hover around a mean-reverting level.

解释：

B is correct.

考点：CIR model

解析：

A. Basis-point volatility increases during periods of high inflation.

C. It is a disadvantage of CIR model.

D. CIR model is a mean-reverting model.

如题，请问这个波动项里面这个根号r，是用的r0还是rt？这点好像老李在课上没讲。

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3 个答案

品职答疑小助手雍 · 2022年10月01日

算r1的话就用r0喽，你这么问其实没有明白这个模型的原理，这个模型的本质就是一期一期的往后推出来一个利率的路径。

然后用蒙特卡洛就可以推出来几千个利率的路径，这样就可以用某个时间的横截面看这个时间的利率符合什么分布。

品职答疑小助手雍 · 2022年10月01日

上一期的，这个课上肯定讲了的。

pinzhixiaoguo · 2022年10月01日

可是我记得V模型课上说的是r0呀。

品职答疑小助手雍 · 2022年10月01日

同学你好，根号下是上一期的r，用来预测这一期的r的。

pinzhixiaoguo · 2022年10月01日

那V模型里面的k(θ-r）里面的r是初始值r0还是上一期r？

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