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MMLU-Pro / 636 / Let P(r,t,T) denote the price at time t of …

Problem

Answer published by the source. Consult the official source to check your work against its answer.

question

Let P(r,t,T)P(r,t,T) denote the price at time tt of 1tobepaidwithcertaintyattime1 to be paid with certainty at time T, t\leT,iftheshortrateattime, if the short rate at time tisequalto is equal to r.ForaVasicekmodelyouaregiven:. For a Vasicek model you are given: P(0.04, 0, 2)=0.9445,, P(0.05, 1, 3)=0.9321,, P(r^*, 2, 4)=0.8960.Whatis. What is r^*$?
Plain-text mathematical notation (without MathML)
Let P(r,t,T) denote the price at time t of 1tobepaidwithcertaintyattimeT, t\leT,iftheshortrateattimetisequaltor.ForaVasicekmodelyouaregiven:P(0.04, 0, 2)=0.9445,P(0.05, 1, 3)=0.9321,P(r^*, 2, 4)=0.8960.Whatisr^*$?
Original LaTeX notation
Let $P(r,t,T)$ denote the price at time $t$ of $1 to be paid with certainty at time $T, t\leT$, if the short rate at time $t$ is equal to $r$. For a Vasicek model you are given: $P(0.04, 0, 2)=0.9445$, $P(0.05, 1, 3)=0.9321$, $P(r^*, 2, 4)=0.8960$. What is $r^*$?

category

business

options

  1. 0.11
  2. 0.06
  3. 0.05
  4. 0.04
  5. 0.08
  6. 0.12
  7. 0.07
  8. 0.09
  9. 0.10
  10. 0.03

src

theoremQA-Finance

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Source and history

upstream_id / Original problem ID
636
task_id
fe2fc5cb-51c4-5545-9c61-075cc09ee633
task_key
default--test--636
task_revision_id
1
config / split
default / test

Official source

initial import