Which of the following statements comparing the HoLee and KalotayWilliams Fabozzi (KWF) equilibrium term structure models is

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Which of the following statements comparing the Ho–Lee and Kalotay–Williams– Fabozzi (KWF) equilibrium term structure models is correct?

A. The Ho–Lee model assumes constant volatility, while the KWF model does not.

B. The KWF model incorporates the possibility of negative rates, while the Ho–Lee model does not.

C. The KWF model describes the log of the dynamics of the short rate, while the Ho–Lee model does not.

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Fixed Income Analysis

ISBN: 9781119850540

5th Edition

Authors: Barbara S. Petitt

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Question Posted: Nov 05, 2023 01:30 AM

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Which of the following statements comparing the HoLee and KalotayWilliams Fabozzi (KWF) equilibrium term structure models is

Question:

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The correct statement is B The KWF model incorporates the possibility of ...View the full answer

Fixed Income Analysis

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