B is correct. The interest rate in the lowest node based on the Ho-Lee model is:

$$r_0 + (\lambda_1 + \lambda_2)dt - 2\sigma\sqrt{dt}$$ $$= 3.2\% + \frac{(0.8\% + 1.2\%)}{12} - 2 \times 2.1\% \times \sqrt{\frac{1}{12}}$$ $$= 0.021542 = 2.15\%$$

A is incorrect. This uses the incorrect formula $r_0 - (\lambda_1 + \lambda_2)dt - 2\sigma\sqrt{dt}$ to calculate the interest rate, subtracting instead of adding the second term in the formula.

C is incorrect. This uses the incorrect formula $r_0 + (\lambda_1 + \lambda_2)dt - \sigma\sqrt{dt}$ to calculate the interest rate, forgetting to multiply by 2 in the third term.

D is incorrect. This uses the incorrect formula $r_0 - (\lambda_1 + \lambda_2)dt$ to calculate the interest rate, omitting the third term entirely.