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

question 11

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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