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Basic Question 6 of 12
The Black model uses the ______ as the underlying rate to value an interest rate option.
B. spot LIBOR
C. forward rate
A. FRA rate
B. spot LIBOR
C. forward rate
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I passed! I did not get a chance to tell you before the exam - but your site was excellent. I will definitely take it next year for Level II.
Tamara Schultz
Learning Outcome Statements
describe how the Black model is used to value European options on futures;
describe how the Black model is used to value European interest rate options and European swaptions;
CFA® 2025 Level II Curriculum, Volume 5, Module 32.