CFA Practice Question

There are 227 practice questions for this study session.

CFA Practice Question

The Black model uses the ______ as the underlying rate to value an interest rate option.

A. FRA rate
B. spot LIBOR
C. forward rate
Correct Answer: A

The FRA rate is observed today. The σ is the annualized standard deviation of the continuously compounded percentage change in the underlying FRA rate.

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