Which of the Following Is Not a Valid Property of the Heath-Jarrow-Morton

question 16

Multiple Choice

Which of the following is not a valid property of the Heath-Jarrow-Morton (HJM) interest-rate framework?

• A)The model may be calibrated to be consistent with any initial yield curve.
• B)The tree version of the model has rates of all remaining maturities at each node of the tree.
• C)The model fits volatilities of rates of all maturities.
• D)The model is a one-factor model.

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Definitions:

Dispositional Attribution

The process of attributing behavior to internal factors or personality traits.

Consensus Behaviour

Actions taken collectively by a group based on widespread agreement or harmony of opinion within the group.

Distinctiveness

The quality of being distinctly different or unique, often used in the context of individual or group identity and characteristics.

Consistency

The quality of achieving a level of performance or behavior that does not vary greatly in quality over time.