Chartered Financial Analyst Level 2
Get started today
Ultimate access to all questions.
The value of an option-free bond obtained when discounting cash flows with spot rates will most likely differ from the value obtained by using a binomial interest rate tree when:
The value of an option-free bond obtained when discounting cash flows with spot rates will most likely differ from the value obtained by using a binomial interest rate tree when:
Exam-Like
A
interest rate volatility is assumed to be zero.
B
the binomial interest rate tree is not properly calibrated to the spot curve.
C
Comments
Loading comments...