Exam (elaborations)
CAIA Level II Sample Exam 2024 Questions and Answers (Graded A+)
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Intuition of the Black-Derman-Toy interest rate model - ANSWER-Observed spot rates drive rate levels while implied rate volatilities drive rate spreads Understanding the intuition of imposing these two conditions helps in understanding the essence of the BDT model. The spot rates in the currentl...
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